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 examines whether systemically important banks realise an implicit subsidy when raising wholesale debt funding and evaluates the effectiveness of the Basel III capital reforms in reducing the subsidy. Our estimations suggest that, before the reforms, systemically important banks...

Using a unique but confidential database, this study examines the capital management practices of Australian banks under the Basel regulatory framework. We find evidence of a negative relationship between the internally targeted capital buffers of banks and the current state of the economic...

There are two distinct regimes for bank provisioning in Australia: a forward-looking model for regulatory purposes and an incurred loss model for financial reporting. This study examines the former using a unique but confidential database. We find evidence that: (i) banks increase provisions in...

This paper examines the pattern of investment by Australian defined-contribution superannuation funds in illiquid assets, using a unique but confidential database. Not-for-profit funds allocate more of their portfolios to illiquid assets, on average, than retail funds. Their allocations reflect...

This study examines the long-run cost implications for banks of funding more of their assets with equity capital, in an economy with a strong dependence on bank-intermediated financing and a highly concentrated banking industry. Despite domestic conditions that are likely to heighten...

As a result of its consideration of issues arising from the financial crisis of 2007-2009, the 2014 Murray Financial System Inquiry recommends that Australian banks be required to have higher capital levels. This article examines the arguments about the impact of higher capital requirements on...