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1. |
MODELLING AUSTRALIAN BANK BILL RATES: A KALMAN FILTER APPROACH |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 1-14
Ramaprasad Bhar,
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摘要:
AbstractThis paper examines the applicability of the Kalman Filter technique to forecast future spot interest rates, based upon the expectation hypothesis of the term structure of interest rates, in the Australian bank bill market. In this approach, regression estimates are based on the last period's estimate together with data from the current period. In contrast to constant parameter models, this allows effective use of information underlying the process driving the evolution of the parameters. For the period tested, forecasting accuracy of such a time‐varying parameter model shows marked improvement over a constant parameter mode
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00295.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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2. |
THE REINSURANCE DECISION IN LIFE INSURANCE FIRMS: AN EMPIRICAL TEST OF THE RISK‐BEARING HYPOTHESIS |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 15-30
Mike Adams,
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摘要:
AbstractSeveral explanations have been advanced in the financial economics literature to explain the reinsurance decision in insurance firms. Prominent amongst these is therisk‐bearing hypothesiswhich holds that reinsurance is motivated by the ability of residual claimants to effectively hedge against operational risk. Since the efficiency of risk‐bearing is influenced by organisational factors, such as ownership structure and firm size, the amount of reinsurance should also vary according to the characteristics of insurance firms. This study tests empirically the hypothesis that reinsurance is related to firm‐specific factors. Using 1988–1993 data gathered from New Zealand's life insurance industry, a fixed‐effects covariance regression model is estimated. Consistent with expectations, the results indicate that reinsurance is associated with smaller and more highly leveraged life insurance entities, and companies with greater underwriting risk. However, contrary to predictions, it also appears that it is stocks and companies with diversified production that tend to reinsure. Therisk‐bearing hypothesisthus receives only part
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00296.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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3. |
WHAT MOTIVATES GOING PRIVATE?: AN ANALYSIS OF AUSTRALIAN FIRMS |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 31-50
Peter H. Eddey,
Kin Wai Lee,
Stephen L. Taylor,
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摘要:
AbstractWe investigate going private transactions in Australia between 1988 and 1991. Approximately ten percent of all takeovers during this period are instances of going private. In contrast to studies of similar transactions in the United States, we find no direct evidence to support a free cash flow explanation for going private, although going private is frequently preceded by the threat of a takeover offer. However, the free cash flow explanation for going private may not be applicable in Pacific Basin countries where exchange‐traded investment activity is in relatively high growth sectors and foreign ownership accounts for a large part of those investment sectors where managerial abuse of free cash flow has been allege
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00297.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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4. |
THE DETERMINANTS OF MARKET BID ASK SPREADS ON THE AUSTRALIAN STOCK EXCHANGE: CROSS‐SECTIONAL ANALYSIS |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 51-63
Michael Aitken,
Alex Frino,
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摘要:
AbstractPrior research into the cost of trading on the Australian Stock Exchange has identified brokerage fees and the bid‐ask spread as significant elements of total transaction costs. While an enormous volume of research has examined the determinants of spreads in US markets, no work has so far addressed the issue for the Australian market‐place. Given the importance of spreads as a transaction cost, this work redresses this imbalance and at the same time provides evidence on whether alternative market structures underlying different exchanges give rise to differences in the determinants of spreads. Using prior US research as our benchmark, our results suggest that notwithstanding microstructure differences between the Australian and US exchanges, there are three fundamental determinants of spreads that transcend differences in the market‐places. These are the level of trading activity, price volatility and stock price levels. Together these three factors account for up to 94% of the total cross‐sectional variation in percentage bid ask spreads on
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00298.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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5. |
REGIME‐SWITCHING IN AUSTRALIAN SHORT‐TERM INTEREST RATES |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 65-88
Stephen F. Gray,
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摘要:
AbstractThis paper applies a generalized regime‐switching (GRS) model of the short‐term interest rate to Australian data. The model allows the short rate to exhibit both mean reversion and conditional heteroscedasticity and nests the popular generalized autoregressive conditional heteroscedasticity (GARCH) and regime‐switching specifications. It is shown that empirical estimates of many popular interest rate models provide curious results which imply that innovations to the short rate process are extremely persistent, and that the short rate is potentially non‐stationary. The source of these curious results, which are also present in US and European interest rates, is identified in the context of the GRS model, which is shown, via specification and forecasting tests, to capture the features of Australian short‐term interest rate data better than existing models. The stochastic process of short‐term interest rates in Australia is compared with evidence from the US and Europe, highlighting a number of important
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00299.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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6. |
THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITY |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 89-111
Timothy J. Brailsford,
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摘要:
AbstractThis paper presents an empirical analysis of the relationship between trading volume, returns and volatility in the Australian stock market. The initial analysis centres upon the volume‐price change relationship. The relationship between trading volume and returns, irrespective of the direction of the price change, is significant across three alternative measures of daily trading volume for the aggregate market. This finding also provides basic support for a positive relationship between trading volume and volatility. Furthermore, evidence is found supporting the hypothesis that the volume‐price change slope for negative returns is smaller than the slope for non‐negative returns, thereby supporting an asymmetric relationship which is hypothesised to exist because of differential costs of taking long and short positions. Analysis at the individual stock level shows weaker support for the relationship. A second related hypothesis is tested in which the formation of returns is conditional upon information arrival which similarly affects trading volume. The hypothesis is tested by using the US overnight return to proxy for expected “news” and trading volume to proxy for news arrival during the day. The results show a reduction in the significance and magnitude of persistence in volatility and hence are consistent with explaining non‐normality in returns (and ARCH effects) through the rate of arrival of information. The findings in this paper help explain how returns are generated and have implications for inferring return behaviour from trading
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00300.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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7. |
Education Notes |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 112-112
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ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00301.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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8. |
THE RELATIONSHIP BETWEEN MACHINE ENJOYMENT, COMPUTER ATTITUDE AND COMPUTER USAGE: SOME FURTHER REFINEMENTS |
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Accounting&Finance,
Volume 36,
Issue 1,
1996,
Page 113-125
Colin Ferguson,
Paul Nevell,
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摘要:
AbstractThis paper extends earlier research by Orpen&Ferguson (1991) on the attitudes of accounting students to working with computers by reporting the results of an empirical study designed to explain the process by which machine enjoyment and computer attitude affect computer usage. A model is developed to show that computer attitude acts as an intervening variable in the link between machine enjoyment and computer usage. The results indicate that machine enjoyment, while having no significant direct effect on computer usage, acts indirectly to affect this usage via computer attitude.
ISSN:0810-5391
DOI:10.1111/j.1467-629X.1996.tb00302.x
出版商:Blackwell Publishing Ltd
年代:1996
数据来源: WILEY
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