This paper estimates the impact of the debt tax shield, cash dividends and imputation tax credits on the prices of Australian stock index futures. Relative to futures payoffs, the cost of financing the set of shares of the underlying index provides a mild tax shield, cash dividends are...

This study exploits a unique dataset to determine the relative contribution to price discovery of order flow originating from geographically dispersed ASX servers. It is found that transactions of traders on the Sydney, Chicago and London servers have a significant impact on price volatility....

This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information eff ects of trades. Previous research has demonstrated that the information effects of buy trades are greater than the information eff ects of...

It is found that insiders are more likely to trade on high volume days, which indicates an effort to hide their trades. Further, insider trading raises the number of days with abnormally high trading volume only slightly, again indicating that insiders are avoiding attracting attention. No...

Classical economic theory suggests that excess returns should be competed away as new participants enter the market. This is especially true for the profits from riskless arbitrage. Yet, there is conflicting evidence in the financial economic literature over whether high frequency trading (HFT)...

This study empirically examines the impact of changes in substantial shareholdings ahead of 450 Australian takeover offers between the years 2000-2009. Previous studies have attributed a significant proportion of the price run-up effect in takeover targets to insider-trading behavior. This paper...

This study exploits a unique dataset to determine the relative contribution to price discovery of order flow originating from geographically dispersed ASX servers. It is found that the transactions of traders on the Sydney, Chicago and London servers have a significant impact on price...

Seasonality has long been documented in the context of equity market returns, but only recently has been tested for in the residential real estate market. This paper argues, in line with the previous research in this area, that no month should, on average, demonstrate superior (or inferior)...

This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data from the Australian Stock Exchange, the trading frequency of medium sized trades is found to have the greatest impact on stock return volatility. The result lends support to the...

This study examines market behaviour around trading halts associated with information releases on the Australian Stock Exchange, which operates an open electronic limit order book. Using the Lee, Ready and Seguin (1994) pseudo-halt methodology, we find trading halts increase both volume and...