We have previously documented an inconsistency between the dividend yield implied by the Officer (1994) model with standard Australian regulatory parameters and actual dividend yields of Australian companies. We have shown that, within the Officer framework, this inconsistency can be resolved by...

We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. There is close to a two-thirds chance that a firm reporting growth above the...

Lally (2007) concludes that regulators must esimate the risk-free rate as the yield-to-maturity on Government debt with a term-to-maturity equal to the regulatory period, to ensure that the present value of expected cash flows equals the investment base. The analytics behind this conclusion...

We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (U.S. stocks and Treasury bonds), commodities (oil and gold) and real estate assets (U.S. Case-Shiller index). We confirm the existence of two distinct...

Early models of bankruptcy prediction employed financial ratios drawn from pre-bankruptcy financial statements and performed well both in-sample and out-of-sample. Since then there has been an ongoing effort in the literature to develop models with even greater predictive performance. A...

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

In light of the ongoing debate over the value of the equity risk premium, its increasing use in the regulatory setting, and the impact of dividend imputation on the premium, this paper presents a timely new look at the historical equity risk premium in Australia, and provides an improved...

This paper investigates the reasons that lead to modification of auditors' opinions. We revisit the conclusions of prior US-based research on whether a modification highlights likely earnings management activities. Extending this research, we consider an alternate explanation that managers...

This study proposes an alternative approach for examining volatility linkages between Standard & Poor's 500, Eurodollar futures and 30 year Treasury Bond futures markets using implied volatility from the three markets. Simple correlation analysis between implied volatilities in the three markets...

This paper examines evidence of predictability in Australian equities using both statistical and economic metrics of significance. A probit-based predictive model is used to forecast the probability that the 1 month ahead excess market return will be positive. Funds under management are then...