The model most often used in empirically testing the pricing of share price index futures contracts is the no-arbitrage model. But this model is actually a forward, not a futures, pricing model. To apply the model to SPI futures, we must assume the equality of forward and futures prices. But the...

This paper examines the pricing behaviour of the Australian share price index futures contracts, incorporating taxes and transaction costs. The Australian SPI futures contract provides an interesting research setting to investigate futures pricing because of the combination of a relatively...

Asset recovery rate is a key factor for credit investors. This study explores the determinants of bank asset recovery rates during the recent downturn in the real estate sector and subsequent financial crisis. We find that banks relying on brokered deposit realize lower asset recovery rates....

We take advantage of both the relatively high concentration of insider ownership in Australian firms, absent the dominance of founding families, and the widespread issuance of non-tradable rights to examine the heterogeneous influence of insider and monitor shareholders in shaping the firm's...

We examine commercial office rental yields in 89 large cities in 33 developed and developing countries in the 2000-2019 period. As expected, commercial office yields have declined throughout the world, reflecting a decline in the real rate of interest over this time period. Our cross-city...

We study how retail investor characteristics affect earnings quality, exploiting the well-documented home bias in equity holdings and the cross-sectional, county-level differences in US age demographics to explore how an aging population affects corporate earnings management. To do so, we use...

This paper examines why firms choose to pay stock dividends. Using a sample of listed Chinese firms, we find that younger, more profitable firms, with lower leverage, high levels of retained earnings, private ownership prior to listing and investing more in fixed assets are more likely to pay...

The Chinese market is characterized by state-controlled and closely held firms as well as significant differences in economic development and legal structures at the provincial level and corporate regulations that require firms seeking external financing to show a history of dividend payment....

Traditional urban models predict that office rents will be higher in larger and more prosperous cities with better transport and with industries with stronger agglomeration benefits. In addition, rental yields are expected to be lower in growing cities, especially when the supply of new office...