8 Result(s)
within
Robert W. Faff
English
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Article
Fortune Favours the Bold? Exploring Tournament Behavior among Australian Superannuation Funds
In this paper we investigate the tournament induced risk-shifting behavior of Australian “multi-sector growth funds”. We apply a regression-based methodology and examine tournaments based on the calendar year ...
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Article
Evidence of feedback trading with Markov switching regimes
Previous research has concluded that the degree of return autocorrelation observed in index returns varies linearly with the volatility of the series, and that feedback traders are at least partly responsible ...
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Article
The relation between R&D intensity and future market returns: does expensing versus capitalization matter?
The Australian accounting environment provides an ideal setting for examining the impact of different accounting treatments of firms’ R&D activities on their subsequent returns. Unlike US firms, which can only...
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Article
Modelling return and conditional volatility exposures in global stock markets
This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market retur...
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Article
On the Choice of Superannuation Funds in Australia
Using a sample of Australian retail and wholesale superannuation funds to proxy for choice and limited choice alternatives, respectively, we investigate the costs and benefits of providing choice to investors....
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Article
International evidence on the determinants of foreign exchange rate exposure of multinational corporations
In this paper we explore some of the potential determinants of foreign exchange (FX) exposure and firm value. We contribute to previous research on stock returns and firm value as we have access to a unique su...
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Article
Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection
We examine the impact of several factors on the selection of portfolio managers for Australian pension plan mandates. Performance measures do not affect the probability of a mandate allocation. Pension sponsor...
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Article
U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach
This paper assesses the impact of regulatory change on the risk and returns of the U.S. banking industry. The impact of five major regulatory changes on banking sector risk was assessed using daily data for ei...
