Research Seminars - Archive
| 2008
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| Semester One | ||
| 07-Feb | Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings |
Ying Wang
Pennsylvania State University |
| 12-Feb | Optimal Execution and Timing of Environmental Policy Investments Using a Mean Reverting Jump-Diffusion Process |
Gerhard Hambusch
University of Wyoming |
| 18-Feb | Who Holds Foreign Stocks and Bonds? Characteristics of Active Investors in Foreign Securities |
Vladyslav Kyrychencko
York University |
| 28-Feb | Women Executives and Corporate Investment: Evidence from the S&P 1500 |
Winnie Qian Peng
HKUST |
| 07-Mar | The Uncertainty Premium in an Ambiguous Economy |
Simon Benninga
Tel Aviv University |
| 11-Mar | Options Trading Activity and Firm Valuation |
Avanidhar Subrahmanyam
UCLA |
| 14-Mar | Conditional factor models and return predictability |
Alex Taylor
Manchester Business School |
| 19-Mar | Fourth Melbourne Derivatives Research Group Conference |
Melbourne Derivatives Research Group
|
| 04-Apr | Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility |
Dick (J.C.) van Dijk
Erasmus School of Economics |
| 11-Apr | Modelling Office Rents |
Bryan MacGregor
The University of Aberdeen |
| 18-Apr | Does Organizational Form Matter for Delegated Portfolios? A Comparison of Mutual Funds, Hedge Funds and Institutional Funds Owned by the Same Organization |
Charles Trzcinka
Kelly School of Business |
| 02-May | Can Unexpected Liquidity Changes Explain the Lock-up Expiration Effect in Stock Returns? |
Chandrasekhar Krishnamurti
Auckland University of Technology |
| 09-May | Employee Stock Options, Financing Constraints, and Real Investment: Theory and Evidence |
Michael Lemmon
Utah |
| 16-May | Flexible Multivariate Density Estimation with Marginal Adaptation |
Robert Kohn
UNSW |
| 23-May | Seasoned Equity Offerings, Quality Signalling, and Private Benefits of Control |
Balasingham Balachandran
Monash |
| 30-May | Order Book Slope and Price Volatility |
Petko Kalev
Monash |
| 2007
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| Semester Two | ||
| 27-Jul | Pricing Under Noisy Signalling |
David Feldman
University of New South Wales |
| 03-Aug | Do Hot Hands Exist Among Hedge Fund Managers? |
Ravi Jagannathan
Northwestern University |
| 10-Aug | The Joint Hedging & Leverage Decision |
John Gould
University of Western Australia |
| 17-Aug | Pipe investments and growth opportunities |
Katrina Ellis
University of California |
| 24-Aug | Market Maker Revenues and Stock Market Liquidity |
Carole Comerton-Forde
University of New South Wales |
| 31-Aug | TBA |
Rob Neal
Indiana University |
| 07-Sep | Downward sloping demand curves and liquidity: Evidence from the S&P 500 change to free float |
David Michayluk
University of Technology Sydney |
| 14-Sep | Bayesian Forecasting of Intraday Electricity Prices using Multivariate Skew-Elliptical Distributions |
Michael Smith
Melbourne Business School |
| 21-Sep | No Seminar |
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| 28-Sep | No Seminar |
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| 05-Oct | Linking Limit Order Books: Managing Free Options on Options |
Raymond Liu
University of New South Wales |
| 12-Oct | TBA |
Robert Kohn
University of New South Wales |
| 19-Oct | On Measuring the Degree of Market Efficiency |
Dilip Madan
University of Maryland |
| 26-Oct | Stock Price Clustering on Option Expiration Dates: Why Market Microstructure Matters |
Ed Maberly
|
| 08-Nov | Heuristics and biases: A recipe for impending disaster in financial markets? |
Johnnie Johnson
University of Southampton |
| 16-Nov | Investor sentiment and stock market response to corporate news |
Mujtaba Mian
|
| Semester One | ||
| 02-Mar | Gender Diversity in the Boardroom |
Renee Adams
University of Queensland |
| 09-Mar | Increases in Background Risk and the Demand for Risky Assets |
Richard Stapleton
Manchester University and University of Melbourne |
| 16-Mar | The Optimal Timing of Inventory Decisions using Options (joint with V. Gaur and S. Seshadri.) |
Marti Subrahmanyam
New York University and University of Melbourne |
| 23-Mar | Financial Markets and the Macro Economy (joint with Paolo Pasquariello, and Marti Subrahmanyam) |
Menachem Brenner
New York University and University of Melbourne |
| 30-Mar | No Seminar - MDRG Conference Thursday 29 March |
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| 06-Apr | Good Friday |
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| 13-Apr | Mid-semester break period |
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| 20-Apr | Excess Returns and Short-Term Institutional Trading (with Peter A. Gardner and Peter L. Swan) |
David R. Gallagher
University of New South Wales |
| 27-Apr | Stock Market Declines and Liquidity (with Wenjin Kang and S. Viswanathan) |
Allaudeen Hameed
National University of Singapore |
| 04-May | Leadership Giving in Charitable Fund-Raising: Matching Gifts or Seed Money? (with Bruce Grundy) |
Ning Gong
Melbourne Business School |
| 11-May | Hedge Fund Style Analysis with the Gap Statistic (with Michael E. Drew, Madhu Veeraraghavan and Peter Whelan) |
Robert Bianchi
Queensland University of Technology |
| 18-May | Factor funds and the Gains from International Diversification |
Zhe (Joe) Zhang
Singapore Management University |
| 25-May | Lessons from Hedge Fund Registration (with William Goetzman, Bing Liang and Christopher Schwarz ) |
Stephen Brown
New York University and University of Melbourne |
| 2006
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| Semester Two | ||
| 28-Jul | A Survey of Housing Equity Withdrawal and Injection in Australia |
David Norman
Reserve Bank |
| 04-Aug |
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| 11-Aug | Asset pricing under alternative investment horizons |
Dr Kathy Walsh
University of Sydney |
| 18-Aug | An empirical study of corporate bond pricing with unobserved capital structure dynamics. |
Iain Maclachlan
ANZ Bank |
| 25-Aug |
Dr Harald Scheule
Department of Finance, The University of Melbourne |
|
| 01-Sep | Fund Flow and Return: Evidence from individual funds |
Dr Karen Benson
University of Queensland |
| 08-Sep |
Dr Necmi Avkiran
University of Queensland |
|
| 15-Sep |
Profession David Feldman
University of NSW |
|
| 06-Oct |
Dr Jonathan Dark
Monash University |
|
| 13-Oct | Gram/Charlier Series A Expansions for Option Pricing |
Dr Erik Schlogl
University of Technology Sydney |
| 20-Oct |
Dr Henry Yip
University of NSW |
|
| 27-Oct |
Professor Glenn Boyle
Victoria University Wellington |
|
| 24-Nov | Early exercise and Monte Carlo obtaining tight bounds |
Associate Professor Mark Joshi
Actuarial Studies University of Melbourne |
| Semester One | ||
| 03-Mar | The Black Model and the Pricing of Options on Assets, Futures and Interest Rates |
Professor Richard Stapleton
Manchester University |
| 10-Mar | The Sharpe Ratio’s Market Climate Bias – Theoretical and Empirical Evidence from US Equity Mutual Funds |
Professor Marco Wilkens
Catholic University of Eichstätt-Ingolstadt |
| 15-Mar | Do Directors Perform for Pay?" Wed 15th March, 11am Wood Theatre |
Renee Birgit Adams
|
| 24-Mar | Implementation of Basel II: problems and solutions |
Dr Daniel Rosch
Regensburg University |
| 31-Mar | Measuring Changes in Migration Matrices and Credit VaR - a new Class of Difference Indices |
Mr Stefan Trueck
Queensland University of Technology |
| 07-Apr | Post IPO corporate life cycle, takeovers an wealth effects |
Dr Alfred Yawson
University of NSW |
| 27-Apr | Managerial Stock Sales and Earnings Management during the 1990s Stock Market Bubble
[Joint with Accounting Department] |
Professor Steve Huddart
Smeal School of Business Penn State University |
| 28-Apr | The price formation of close-substitute markets: theory and empirical applications |
Dr Michael Chng
Monash University |
| 05-May | How sensitive are Japanese firms to earnings risk? Evidence from cash holdings |
Dr Pascal Nguyen
University of NSW |
| 12-May | Expectations and Asset prices |
Geoff Warren
AGSM |
| 19-May |
Professor Heather Anderson
Australian National University |
|
| 26-May | Limit Order Book Transparency, Execution Risk and Market Liquidity |
Dr Elvis Jarnecic
University of Sydney |
| 2005
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| Semester Two | ||
| 29-Jul | Optimal Portfolio Balancing Under Conventional Preferences and Transaction Costs Explains the Equity Premium Puzzle |
Professor Peter Swan
School of Banking & Finance University of NSW |
| 05-Aug | The Value of Dividend Imputation Franking Credits |
Professor Stephen Gray
Business School University of Queensland |
| 12-Aug | Competition in Investment Banking: Proactive, Reactive, or Retaliatory? |
Assistant Professor Katrina Ellis
Graduate School of Management University of California, Davis |
| 19-Aug | Entrepreneurial Finance: A Thirty-Year Excursion into the Venture Capital Industry |
Professor Yochanan Shachmurove
City College of the City University of New York |
| 26-Aug | Excess Cash Holdings and Shareholder Value: Australian Evidence |
Dr. Ronan Powell
School of Banking and Finance University of NSW |
| 02-Sep | TBA |
Dr. Krishnan Maheswaran
Department of Finance The University of Melbourne |
| 09-Sep | Cost of Capital |
Associate Professor Mike Dempsey
Department of Finance Griffith University |
| 16-Sep | Taxes and Dividend Policy under Alternative Tax Regimes |
Associate Professor Garry Twite
Australian Graduate School of Management |
| 07-Oct | Property Owners in Australia: A Snapshot |
Mr Anthony Rossiter
Reserve Bank of Australia |
| 14-Oct | TBA |
Dr. Max Stevenson Associate Chair Finance University of Sydney |
| 21-Oct | Combining Skill and Capital: Alternate Mechanisms for Achieving an Optimal Fund Size |
Professor Bruce Grundy
Department of Finance The University of Melbourne |
| 28-Oct | Are Investors Ethical Only When They Can Afford It? |
Mr Syed Akbar Ali
School of Commerce University of Adelaide |
| Semester One | ||
| 04-Mar | The Libor Market Model: A recombining binomial tree methodology |
Professor Richard Stapleton Professor of Finance Manchester University |
| 11-Mar | Intermediation and Value Creation in an Incomplete Market: Implications for Securitization |
Professor Marti Subrahmanyam
Stern School of Business New York University |
| 18-Mar | Hedging Volatility Risk |
Professor Menachem Brenner
Henry Kaufman Management Center New York University |
| 08-Apr | Incomplete Information Equilibria: Separation Theorems and Other Myths. |
Professor David Feldman
University of NSW |
| 15-Apr | A Capital Asset Pricing Model for an Integrated Tax System |
Dr. John Handley
University of Melbourne |
| 22-Apr | Extending the CAPM: The reward beta approach |
Dr. Graham Bornholt
Griffith University |
| 29-Apr | Stock Selection Ability of Investment Managers Surrounding Earnings Release Dates |
Associate Professor David Gallagher
University of NSW |
| 06-May | Investment Manager Skill in Australian Small-Cap Equities |
Professor Terry Walter
University of NSW |
| 13-May | Reverse Leverage Buyouts, Timing and Underpricing |
Professor Jerry Bowman Professor of Finance Auckland University |
| 20-May | The Underpricing of Technology IPOs |
Mr Jason Hall
Business School, University of Queensland |
| 27-May | Transparency Generally Beats Opacity: The impact of achitectural features on global equity market performance |
Dr Joakim Westerholm
School of Business, University of Sydney |
| 2004
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| Semester Two | ||
| 30-Jul | The Impact of Rating Changes in Australian Financial Markets |
Luke Gower
Reserve Bank |
| 06-Aug | An Empirical Analysis of Strategic Behavior Models |
Carole Comerton-Forde
University of Sydney |
| 13-Aug | TBA |
Adam Clements
Queensland University of Technology |
| 20-Aug | Local profitability and trading strategy on floor traded and automated futures markets |
Luke Bortoli
University of Sydney |
| 27-Aug | Comparing Spread Decomposition Models: A Closer Look at Share Buybacks (Stock Repurchases) in Australia |
Li-Anne Woo
Bond University |
| 03-Sep | The cost of capital of a multinational firm under an imputation tax system Seminar Time: 11:30am - 12:30pm |
John Handley
University of Melbourne |
| 10-Sep | TBA |
Associate Professor Nic Groenewold
University of Western Australia |
| 17-Sep | Pricing American options on Levy processes |
Ross Maller
Australian Natiional University |
| 08-Oct | Earnings – Dividends and Information |
Carl Chiarella
University of Technology, Sydney |
| 15-Oct | TBA |
George Wong
University of Melbourne |
| 22-Oct | Further evidence on the relation between free cash flows, debt, dividends and audit prices - Joint Seminar with ABIS |
John Lyons
Melbounre Business School |
| 29-Oct | TBA |
John (En Te) Chen
University of Melbourne |
| Semester One | ||
| 05-Mar | The Information Content of Trader Identification |
Professor Alex Frino
University of Sydney |
| 12-Mar | Interest Rates and Credit Spread Dynamics |
Professor Rob Neal, Visitor University of Melbourne
Indiana University |
| 19-Mar | Trading Day Effects in Stochastic Volatility and Exponential GARCH Models |
Professor Michael McAleer
University of Western Australia |
| 24-Mar | Governance Processes In Inter-Firm Relationships: The Effects Of Monitoring On Opportunism
Venue: Downing Conference Centre, Building A, University Square |
Profs. Jan Heide and Irwin Maier Joint seminar with Dept of Management
|
| 26-Mar |
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| 02-Apr | Optimal Asset Allocation Given Personal, Non-Hedgeable Income and Re-Investment Risks |
Professor Dick Stapleton
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| 23-Apr | Liquidity, Price Impact, and Foreign Trading: Does Identity Really Matter? |
Professor Cathy Bonser-Neal, Visitor University of Melbourne
Indiana University |
| 30-Apr | Asset pricing under asymmetric information about distribution of risk aversion |
Dr Qi Zeng
University of Melbourne |
| 07-May | Stock Market Effects of Pension Plan Investment Management Mandates |
Jerry Parwada
University of New South Wales |
| 14-May | Analyst Coverage and Capital Structure Decisions |
Dr Xin (Simba) Chang
University of Melbourne |
| 20-May | Joint with ABIS – venue and time TBA |
Capital Markets Research Symposium
|
| 21-May | TBA – Confirmation Seminar |
Tariq Haque, PhD Student, University of Melbourne
|
| 28-May | Portfolio Concentration and Investment Manager Performance |
David Gallagher
University of New South Wales |
| 2003
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| Semester Two | ||
| 08-Aug | The Impact of Short Selling in the Price-Volume Relationship: Evidence from Hong Kong |
Dr Olan Henry
The University of Melbourne, Department of Economics |
| 15-Aug | TBA |
Chris Deeley
Charles Sturt University |
| 22-Aug | Daily Trading Behaviour and the Performance of Investment Managers |
Dr David Gallagher
University of New South Wales |
| 29-Aug | TBA |
Professor Kevin Davis
University of Melbourne, Department of Finance |
| 05-Sep | Simultaneous estimation of the implied values of franked (tax-free) dividends, required rates of return and growth rates using a modified residual income valuation model |
Mr Julian Yeo
University of Melbourne, Department of Accounting and BIS |
| 12-Sep | TBA |
Professor Paul Kofman
University of Melbourne, Department of Finance |
| 19-Sep | IPO Flipping in Australia: Cross-Sectional Explanations |
Professor Terry Walter
University of New South Wales |
| 26-Sep | TBA |
Associate Professor Raymond da Silva Rosa
University of Western Australia |
| 03-Oct | TBA |
Mr Kim Loong Choo
PhD Confirmation |
| 10-Oct | TBA |
Associate Professor Jarl Karllberg
New York University, Stern School of Business |
| 17-Oct | Fees on Fees in Funds of Funds |
Professor Stephen Brown
New York University, Stern School of Business |
| 24-Oct | TBA |
Dr Francis In
Monash University, Accounting and Finance |
| 31-Oct | TBA |
Dr Richard Heaney
Australian National University, School of Finance & Applied Statistics |
| 11-Nov | This is the topic |
Jack Smith
|
| Semester One | ||
| 05-Mar | Arbitrage Violations and Implied Valuations: The Option Market |
Professor Eliezer Z. Prisman
Schulich School of Business, York University, Canada |
| 07-Mar | Explaining UK Office and Retail Capitalisation Rates Using an Error Correction Model |
Professor Pat Hendershott
Visitor, University of Melbourne |
| 17-Mar | Psuedo-Risk-Neutral Valuation Relationships and the Valuation of Options |
Professor Richard Stapleton
Visitor, University of Melbourne |
| 21-Mar | Tender Offer Premiums and Stock Price Elasticity |
Professor Edward Dyl
University of Arizona |
| 28-Mar | TBA |
Professor Richard Pettway
University of Missouri |
| 11-Apr | The Relationship between Ownership Retention and Underpricing |
Dr Graeme Camp
University of Auckland |
| 09-May | TBA |
Associate Professor Philip Gray
University of Queensland |
| 30-May | TBA |
Dr Howard Chan
Monash University |
| 2002
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| Semester Two | ||
| 25-Jul | The Reaction of Household Consumption to Predictable Chances in Social Security Benefits: Evidence from the Consumer Expenditure Survey |
Mr Krishnan Maheswaran
The University of Melbourne |
| 26-Jul | Contribution to Price Discovery by Orders and Trades: Implications for Market Design |
Michael Chng
PhD Student, University of Melbourne |
| 16-Aug | Shareholder Diversification and the Value of Control |
Dr Richard Heaney
Australian National University |
| 30-Aug | Incentive compatible replication of contingent claims |
Professor Rabbee Tourky
Department of Economics, University of Melbourne |
| 06-Sep | An investigation into the role of liquidity in asset pricing: Australian evidence |
Professor Robert Faff
Monash University |
| 20-Sep | How to Fix a One-Day International Cricket Match |
Dr Stephen Gray
University of Queensland |
| 27-Sep | Underwriter Spreads on Eurobond Issues of US Firms |
Professor Ian Sharpe
University of New South Wales |
| 04-Oct | An International Comparison of Capital Structure and Debt Maturity |
Dr Gary Twite
Australian Graduate School of Management |
| 09-Oct | The impacts of trading restriction on the performance of newly listed |
Peter Pham
Monash University |
| 11-Oct | Value Portfolio Theory |
Mr Chang Joo & Associate Professor Kim Sawyer
PhD Student, University of Melbourne |
| 18-Oct | On the estimation of the heath-jarrow-morton model under a class of jump-diffusion processes |
Professor Carl Chiarella
University of Technology, Sydney |
| 01-Nov | Practices and Attitudes to Derivative Use in Australian Commonwealth Organisations |
Dr Barry Oliver
Australian National University |