Business

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Now showing 1 - 10 of 110



  • (2005) Chen, Zhi'an
    Thesis


  • (2008) Husodo, Zaäfri Ananto
    Thesis
    This research contains three essays that explore the speed of adjustment, volatility and noise in the Indonesia Stock Exchange. The first essay explores the speed of adjustment in the Indonesia Stock Exchange at daily interval from 2000 to 2004. The model employed is the speed of adjustment with noise. Firstly, I work on the estimation of the speed of adjustment. The estimated speed of adjustment coefficient concludes that the large size leads the smaller size group to adjust to new information. Secondly, I analyse the component in the noise that contributes significantly to the speed of adjustment level. It is confirmed that the factor determining the noise is bid-ask fluctuations. Therefore, it is reasonable to infer the component in the noise from bid-ask component. The decomposition of bid-ask spread into transaction cost and asymmetric information reveals that the latter is found to be a significant component determining the speed of adjustment level. The second essay analyses the fine grain dynamics of the speed of price adjustment to new information from 2000 to 2007. The exact time of adjustment is estimated at intraday frequency instead of at daily frequency. In this work, as an alternative of first moment estimation, second moment model-free estimation using volatility signature plot to estimate of the speed of adjustment is proposed. Both first and second moment estimation of the speed of adjustment provide consistent result of 30 minute adjustment period. Negative relation after 5-minute return interval between speed of adjustment estimate and realized variance is found implying lower noise leads to smaller deviation between observed and equilibrium price. In the third essay, I concentrate the work on the second moment of continuously compounded returns from 2000 to 2007 in the Indonesia Stock Exchange. The main purpose of the last essay is to estimate the noise and efficient variance in the Indonesia Stock Exchange. The realized variance based estimator is employed in the third essay. During the period of the study, noise variance decreases indicating smaller deviation between the observed and equilibrium price, hence improving market quality in the Indonesia Stock Exchange. The optimal frequency to estimate the efficient variance, on average, is nine minutes. The variance ratio of daily efficient variance to daily open-to-close reveals significant private information underlying price process in the Indonesia Stock Exchange.

  • (2007) Looi, Adrian
    Thesis
    This dissertation presents an examination of the trading behaviour of active Australian fund managers. The thesis begins with an analysis of how fund manager trades relate to stock returns in the past, the present, and the future. The dissertation next proceeds to investigating how fund size affects fund performance, trading and portfolio construction. Finally, using earnings announcements as the locus for trading sequences, we analyse the nature of the information used by fund managers to predict stock returns. This research is presented in the form of three essays. The first essay investigates how active fund manager trades relate to stock returns. Using a unique database of daily transactions from Australian equity managers, we document that our sample of institutional investors exhibit statistically and economically significant predictive power in forecasting future stock returns over the ten days following their trades. Furthermore, detailed analysis indicates that manager style is important in understanding the link between institutional trading and stock returns. The essay finds growth-oriented managers are momentum traders, while style-neutral and value managers are contrarian. Further, the contemporaneous relation between institutional trading and returns depends on trade size, broker use, and investment style. Finally, the study documents that trades and returns are inversely related for value/contrarian managers and directly related for style-neutral and growth managers. The second essay presents an analysis of how fund size affects investment performance. Recent studies find evidence that small funds outperform large funds. This fund size effect is commonly hypothesized to be caused by transaction costs. Due to the lack of transactions data, prior studies have investigated the transaction costs theory only indirectly. This study however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than that Finally, the third essay examines the nature of price-sensitive earnings information used by package formation and portfolio characteristics consistent with transaction cost intimidation. An analysis of the interaction between transaction cost intimidation and the fund size effect documents that large managers pursue a highly active trading strategy, and accordingly suffer more from the fund size effect than is the case for large funds following a less active trading strategy. This suggests the fund size effect is related to transaction costs as trading activity is a good proxy for expected market impact. Finally, the third essay examines the nature of price-sensitive earnings information used by fund managers to trade. While a number of recent mutual fund performance studies find data, prior studies have investigated the transaction costs theory only indirectly. This study however, analyses the daily transactions of active Australian equity managers and finds aggregate market impact costs incurred by large managers are significantly greater than that Finally, the third essay examines the nature of price-sensitive earnings information used by package formation and portfolio characteristics consistent with transaction cost intimidation. An analysis of the interaction between transaction cost intimidation and the fund size effect documents that large managers pursue a highly active trading strategy, and accordingly suffer more from the fund size effect than is the case for large funds following a less active trading strategy. This suggests the fund size effect is related to transaction costs as trading activity is incurred by small managers. Furthermore, large managers exhibit preferences for trade evidence of outperformance relative to suitably constructed benchmarks, limited research exists as to whether such outperformance is due to privately collected information, or merely expedient interpretation of publicly released information. In this essay an examination of the trade sequences of fund managers around earnings announcements is performed, and evidence is presented revealing an increased Occurrence of buy-sell trade sequences around good announcements and vice versa for bad announcements. The results also show an increase in the frequency of fund managers not trading before announcements, only to subsequently purchase during good announcements. Taken together, this evidence suggests managers are reliant on private information before earnings announcements, as well as them engaging in 'interpretation' of earnings announcements when they do not receive a private signal.

  • (2000) Woo, Li-Anne Elizabeth
    Thesis
    Primary equity issues provide an injection of funds from the sale of new shares prior to stock exchange listing. Typically, new primary equity is publicly sourced via an initial public offer (IPO). In Australia, however, a direct placement to private and institutional shareholders may also be undertaken prior to flotation. This dissertation begins with a review of the Australian institutional issuance environment. The empirical analysis uses a sample of 1,351 Australian primary equity raisings that listed between January 1983 and June 1995. In aggregate, these equity raisings totalled A$30B (in 1997 constant dollars), having an average issue size of A$24.4M and average flotation costs of 7.88%. Two formation decisions, relating to the demand for underwriter services and choice of distribution method, are investigated. In each study, a theoretical model is developed and tested using logit regression analysis. In the context of the demand for underwriting services, transaction costs, information asymmetry, risk transfer/avoidance and self-marketing hypotheses from the financial intermediation literature are examined. Empirical results support the transaction costs, liquidity and risk transfer/avoidance hypotheses, but not the information asymmetry explanations. The choice of primary equity distribution method is analogous to the public versus private funding choice reported in the debt market literature, in which the source of funding is related to transaction costs and information asymmetry hypotheses. This framework is augmented by marketing risk and channel structure considerations, and by corporate governance based research in the IPO literature that suggest the maintenance of private control rights and preferences for a particular initial ownership structure, motivate distribution choice. Support for transaction costs and marketing risk explanations is identified in a reduced form model. Moreover, corporate governance considerations are found to be important for small equity raisings.

  • (2001) Li, Donghui
    Thesis