This study investigates Asia Pacific banks' annual report disclosures on derivatives using the Basel Committee and IOSCO joint recommendations as the derivative and risk management disclosure benchmark. Based on our constructed disclosure index, the mean score is 35%, suggesting that many of the...

An aspect of prospect theory posits that decision‐makers, when making decisions in the face of risk, make their decisions with respect to a pre‐existing reference point or ‘frame’ (the statusquo bias). We utilize data from the Australian version of the TV game show, Deal or No Deal, to...

In this paper we employ a GMM‐based approach to test the restrictions imposed by a two‐factor ‘market and oil’ pricing model when a risk‐free asset is assumed to exist. We examine the Australian market which has several interesting features including self‐sufficiency in relation to...

In this paper we empirically investigate the tendency for beta risk to mean‐revert across industries. Using a sample of Australian stocks over the ten‐year period 1989 to 1998, our key results are as follows. We generally observe evidence of a mean reversion tendency — in particular, this...

This paper examines the market timing ability of a sample of 62 Australian International equity funds using the returns‐based approach of Henriksson and Merton (1981) (H&M) and Treynor and Mazuy (1966) (T&M). Specifically, the primary focus is to investigate whether market timing ability bears...