We consider a discrete time pairs trading model which includes regime changes in the dynamics. The prices of the pair of assets, and so their difference or spread, depend on the state of the market, which in turn is modelled by a finite state Markov chain. Different states of the chain give rise...

This study examines the ex-day trading behaviour using daily ownership records aggregated by investor class under the novel environment of Australia. Domestic shareholders who have a strong preference for imputation credits capture franking credits by buying fully-franked stocks cum-dividend and...

We investigate whether the effect of liquidity on equity returns can be attributed to the liquidity level, as a stock characteristic, or a market wide systematic liquidity risk. We develop a CAPM liquidity-augmented risk model and test the characteristic hypothesis against the systematic risk...

We investigate the short-term relation between individual investor trading and stock returns on the Australian Securities Exchange. Stocks heavily bought by individual investors underperform stocks heavily sold over the subsequent three days, with respective returns on to a long-short portfolio...

In this paper we investigate if directors of Australian companies earn persistent profits on their reported trades, if these abnormal profits are significant enough to be mimicked by outsiders, and if these insider trades have an effect on returns of other investors. We find that insiders take...

We argue the ubiquity of style investing segments the market for active mutual funds into several style-based markets. In our model, peer effects on fees and pricing kernel misspecification come together to explain the cross-section of fees. We show that style-relative alpha and the state...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

We focus on the stock selection step of the index tracking problem in passive investment management and incorporate constant changes in the dynamics of markets into the decision. We propose an approach, using machine learning techniques, which analyzes the performance of the selection methods...