This paper investigates the relationship between the use of financial derivatives and firm value in the Australian setting. Contrary to expectations, we find that the use of derivatives in general, and the use of interest rate derivatives in particular, are negatively related to firm value (as...

We explore the relationship between the type of derivative instrument used and firm value, in a sample of Australian firms. Specifically, we examine the impact of the corporate use of swaps, futures, forwards and options, and the extent of such usage, on firm value. Our findings suggest that a...

In this paper, we utilize data from the Australian version of the TV game show, 'Deal or No Deal', to explore risk aversion in a high real stakes setting. An attractive feature of this version of the game is that supplementary rounds may occur which switch the decision frame of players. There...

This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified - 'low', 'neutral' and 'high'. The market model is extended to...

We examine the price and volatility reaction around stock dividend ex-dates for an Australian sample, over the period January 1992 to December 2000. We find that price reaction around stock dividend ex-dates provides positive abnormal returns both prior, and subsequent, to the abolishment of par...

This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by...