In the context of highly liquid markets and intra-day data, Engle and Lange (2001) successfully develop a measure of market depth they call VNET. This article explores the applicability of a modified version of this measure in the case of the weekly market for seasonal water in rural Victoria....

This paper evaluates the impact of sampling errors on portfolio decisions using mean-variance and stochastic dominance rules where riskless borrowing and lending opportunities exist. The paper establishes criteria for comparing the alternative decision rules (for example, mean variance versus...

This paper analyses whether financial and non financial characteristics of Australian initial public offerings (IPOs) can explain observed underpricing and long term underperformance over the period 1994 to 1999. A number of previous Australian studies have investigated initial day underpricing...

Given the growing empirical evidence that returns predictability follows an evolutionary path, it calls into question not only the usefulness of conventional statistical tests of market efficiency as highlighted by Saadi et al. (2006), but also the adequacy of the efficient markets hypothesis to...

For emerging market returns there is strong evidence that the departure from normality is primarily driven by kurtosis and not skewness. This paper investigates the empirical validity of a return generating process that includes quadratic and cubic market returns as factors of pricing for an...

Purpose – On January 3, 2005, Regulation SHO was implemented by the Securities and Exchange Commission, with the express purpose of updating short sale regulation by seeking to limit an abusive short selling practice known as naked short selling. The purpose of this paper is to examine the...

"This book in manuscript form has been class-tested three times. This course was a doctoral seminar that was open to finance masters and doctoral students and also STEM students across the university. All of these students contributed a great deal to catching errors, forcing us to re-think how...