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...

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...

Hybrid securities are becoming an increasingly important component of the capital structure of Australian firms. While displaying characteristics of both debt and equity, one principal equity attribute of hybrids is their ability to pay franked dividends. This enables resident domestic investors...

We measure the contribution of industry sector choice and individual stock selection to the performance of 3350 United States' equity funds from 1980 to 2005. First, we demonstrate that sector choice makes a relatively greater contribution to portfolio variance, holding constant manager skill in...

We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. There is close to a two-thirds chance that a firm reporting growth above the...