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Search Results for Collection: Accountancy and Finance
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(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)Fund and other investments often exhibit longer run volatility associated with macroeconomic or other dynamics to an extent inconsistent with the efficient market accumulation model. Volatility and performance models or ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2007)Examining a sample of more than 4,600 IPOs across 24 countries from 2000-2004, we find that firm- and deal-specific characteristics widely used in IPO single-country underpricing studies (e.g., offer size, underwriter ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)In the context of a cross-sectional regression framework, we explore whether liquidity is priced in an Australian setting, using monthly data over the period 1990 to 1999. Our major findings are as follows. First, we find ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)This paper provides an exposition of the nature, means of estimation and uses of Financial Conditions Indexes (FCIs) and their relationship to the more common Monetary Conditions Indexes (MCIs) that are used by market ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)This study explores analyst annual earnings forecasts in New Zealand. The results show that forecasts of New Zealand firms do not suffer from the pessimistic biases found in studies of forecasts for United States firms. ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), Finance Seminars for 2001, 2001)In this paper we show the effects that outliers have on estimation and inference for ARCH models. We propose an empirically tractable solution to this problem by replacing outliers with their conditional expectations ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2005)I use new data made available by the 1993 Companies Act to examine trends in CEO and non-CEO executive employee (NCEE) pay and related governance issues. Following mandatory disclosure on 1 July 1997, real CEO and NCEE ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago Department of Finance Seminar Series, 2002)This paper analyzes the risk characteristics for various hedge fund strategies specializing in fixed income instruments. Because fixed income hedge fund strategies have exceptionally high autocorrelations in reported returns ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2003)The fragility of the CAPM has led to a resurgence of research that frequently uses trading strategies based on sorting procedures to uncover relations between firm characteristics (such as “value” or “glamour”) and equity ... -
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and security designs. Prior studies of bid/ask spreads suffer from several forms of ...