I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the...

Empirical analysis of financial data such as the daily, weekly or monthly prices of assets such as bonds, stocks, currencies and commodities have shown that asset prices approximately follow a martingale process, but the distribution of asset returns tend to be fat-tailed. This paper examines...

Despite considerable empirical evidence reporting a negative relationship between net share issuance and subsequent returns, it remains unresolved whether this anomaly is explained by risk or investor irrationality. This paper examines the net share issuance anomaly using seasoned equity...

Much of the research on the long-run market performance of initial public offerings (IPOs) has found that the subsequent share prices are often lower than first day prices, which is documented as the underperformance phenomenon. We contribute to the literature by analysing the performance of 249...

Many studies have investigated how markets react to the change of conventional market index composition. Nevertheless, how investors in emerging markets react to changes to an Islamic Index composition still needs to be answered. This study empirically investigates market responses to...

Assessments of investors’ risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

We study a sample of 568 Australian rights offerings made during 2003-08 to examine the market response to the reasons stated by the firm for the use of capital on announcements. We also examine the impact of the extent of disclosure of use of proceeds on market response. Using event study...

We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the...