Rules governing superannuation investments are made with respect to investment-specific risks, rather than overall portfolio risks. In particular, legislation prohibits borrowing except in specific circumstances and on a non-recourse basis. We model the distribution of leveraged portfolio...

This study investigates a new problem in the area of environmental valuation: how much is a public environmental asset worth to a private company? We ask this question in the context of dust abatement, where the asset is air quality. A company wants to know what level of dust abatement is...

Generalized linear models unite a wide variety of statistical models in a common theoretical framework. This paper discusses GLMLAB-software that enables such models to be fitted in the popular mathematical package MATLAB. It provides a graphical user interface to the powerful MATLAB...

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...

In a dividend imputation tax system, equity investors have three potential sources of return: dividends, capital gains and franking (tax) credits. However, the standard procedures for estimating the market risk premium (MRP) for use in the capital asset pricing model, ignore the value of...

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

Purpose – Estimates of systematic risk or beta are an important determinant of the cost of capital. The standard technique used to compile beta estimates is an ordinary least squares regression of stock returns on market returns using four to five years of monthly data. This convention assumes...