Business

Publication Search Results

Now showing 1 - 10 of 34
  • (2022) Feng, Yang
    Thesis
    The stochastic optimal decision-making problem concerns the process of dynamically deciding actions to optimize pre-specified criteria based on specific stochastic models. It is, however, common that a decision-maker is unable to obtain complete information to formulate fully reliable models and faces the issue of model uncertainty. Existing empirical studies have shown that ignoring model uncertainty leads to improper decisions and causes losses in the financial market. Thus, it is important to incorporate model uncertainty into decision-making. To our best knowledge, no existing works on dividend optimization have taken model uncertainty into consideration. This thesis is an early attempt to fill such a gap in the actuarial literature. This thesis studies three popular optimization problems in the framework of model uncertainty, which involve different models with multiple control variables and various assumptions. It consists of three projects. The first project investigates an optimal risk exposure-dividend control problem under a diffusion model with model uncertainty. Due to the concerns about model uncertainty, the ambiguity averse insurer aims at finding the robust strategies such that a penalized reward function is maximized in the worst-case scenario. The problem is formulated as a zero-sum stochastic differential game between the insurer and the market. Explicit expressions for the value functions are obtained and the optimal dividend strategies are identified as barrier strategies. The second project incorporates model uncertainty into a dividend optimization problem of a singular type under the classical risk model with general assumptions on the claim size distribution. Using the standard stochastic control techniques, we characterize the value function as the smallest viscosity supersolution to the existing Hamilton-Jacobi-Bellman equation and show that the optimal strategies are of band type. The third project extends the second project by incorporating fixed and proportional transaction costs on dividend payments. The problem is an impulse control problem and the optimal dividend strategies are shown to be n-level lump sum strategies. Numerical studies are provided for each project and the economic implications of model uncertainty on insurer’s decision-making are discussed. It is shown that the insurer who is more averse to ambiguity tends to be more conservative in the optimal strategies.

  • (2022) Dienemann, Fabian
    Thesis
    This dissertation consists of three essays on asset pricing and market microstructure topics within the U.S. corporate bond market. The first essay investigates asymmetry in price pressure between customer buy and sell orders and demonstrates that it is a valuable measure of downside liquidity for corporate bonds. While evidence of a characteristic premium for illiquidity in the cross-section of corporate bonds is mixed, aggregate liquidity asymmetry has high explanatory power for the time series of market returns. Its statistical and economic significance justify it as a credible asset pricing factor. Average market-wide liquidity asymmetry comoves with interest rate and credit spread changes, investor sentiment, funding liquidity, dealer inventory, exchange-traded fund flows, and post-crisis regulatory change. The second essay documents the properties of market-wide corporate bond liquidity and demonstrates that liquidity risk is an important determinant of returns. In market downturns, transaction costs rise for sellers and fall for buyers. The negative relation between buyer and seller liquidity motivates a new across-measure liquidity factor that incorporates an asymmetric liquidity component. Shocks to market-wide liquidity explain a large portion of bond return variation in the time series. Primarily driven by the asymmetric component, the liquidity factor attracts a cross-sectional risk premium that is robust to controls for credit, equity, and interest rate factors, as well as the illiquidity level. The third essay provides new evidence of retail investors’ ability to predict returns based on transactions in U.S. corporate bonds with equity-like risk. Retail order flow is persistent and contrarian, and it predicts future returns in the cross-section. The profits of an equal-weighted, long-short strategy that buys (sells) bonds that experience high (low) net retail buying are economically meaningful. The alpha based on decile portfolios is significant at the 10% level when controlling for common equity and bond risk factors. However, due to high transaction costs and because retail purchase volume is concentrated in underperforming bonds, retail traders lose money in aggregate.

  • (2022) Herse, Sarita
    Thesis
    As collaborative agents are implemented within everyday environments and the workforce, user trust in these agents becomes critical to consider. Trust affects user decision making, rendering it an essential component to consider when designing for successful Human-Agent Collaboration (HAC). The purpose of this work is to investigate the relationship between user trust and decision making with the overall aim of providing a trust calibration methodology to achieve the goals and optimise the outcomes of HAC. Recommender systems are used as a testbed for investigation, offering insight on human collaboration with dyadic decision domains. Four studies are conducted and include in-person, online, and simulation experiments. The first study provides evidence of a relationship between user perception of a collaborative agent and trust. Outcomes of the second study demonstrate that initial trust can be used to predict task outcome during HAC, with Signal Detection Theory (SDT) introduced as a method to interpret user decision making in-task. The third study provides evidence to suggest that the implementation of different features within a single agent's interface influences user perception and trust, subsequently impacting outcomes of HAC. Finally, a computational trust calibration methodology harnessing a Partially Observable Markov Decision Process (POMDP) model and SDT is presented and assessed, providing an improved understanding of the mechanisms governing user trust and its relationship with decision making and collaborative task performance during HAC. The contributions from this work address important gaps within the HAC literature. The implications of the proposed methodology and its application to alternative domains are identified and discussed.

  • (2022) Chong, Terrence
    Thesis
    As chatbots are deployed for service interactions with customers on the organizational frontline, they are designed to be humanlike (anthropomorphized) to increase acceptance and usage. Although the use of chatbots continues to rise, there is a lack of guidelines on effective chatbot design and its impact on customer responses. Drawing from social cognitive theory (SCT) and stereotype content model (SCM), this thesis consists of three essays that theoretically propose and empirically test the underlying mechanisms of the effect of embodied conversational agent (ECA, a form of chatbot with digital face/head or body) design on customer outcomes. Essay 1 (Chapter 2) conceptualizes three aspects of ECA design (i.e., anthropomorphic role, appearance and interactivity) and presents a framework on how they impact service outcomes by influencing people's agency. Essay 2 (Chapter 3) builds on Essay 1 and introduces ‘value-by-proxy’ as a two-stage process that accounts for how the three anthropomorphic affordances relevant to ECAs (i.e., anthropomorphic role, visual appearance and conversational style) translate into relevant customer outcomes in the delivery of online financial coaching service. The essay uses an experimental approach that simulates an interactive service encounter with an ECA and incorporates implementation intentions with regard to (non)use and advice compliance, which is integrated with a Gabor Granger study to assess the willingness to pay. Based on a sample of 596 US-based respondents recruited from a Prolific panel, the results provide evidence on the serial mediation of the impact of anthropomorphic affordances on customer outcomes. Essay 3 (Chapter 4) conceptually and empirically explores how the dimensions of warmth and competence are afforded through prosody (enthusiastic vs. calm voice) and interaction styles (socioemotional vs. task-focused) in establishing perceptions of virtual rapport and in turn customer usage and compliance intentions. Data were collected from two studies: 390 US-based respondents recruited from a Prolific panel participated in an online experiment in Study 1, and 212 US-based respondents from a Conjoint.ly panel participated in a choice-based conjoint experiment in Study 2. The findings demonstrate a process of moderated serial mediation such that feelings of rapport are driven by believability and that this relationship is enhanced by a willingness to suspend disbelief.

  • (2022) Faulkner, Anne
    Thesis
    Policy capacity implies the presence of a range of individual skills, work activities and organisational abilities that combine to facilitate high-level performance of the policy function in an organisation. In the context of increasingly complex public policy issues and processes, high-level policy capacity is a key objective for public sector development in Australia and internationally. Since the late 1970s, several administrative reviews have assessed the ability of the Australian Public Service (APS) to meet the demands of a changing and increasingly complex public governance environment. Policy capacity has persistently been identified as an area for improvement in these reviews, resulting in repeated attempts to address deficiencies. Why APS policy capacity has failed to improve despite these attempts is unclear; however, persistent negative assessments of APS policy capacity suggest a failure of reformers to identify critical obstacles to the development of policy capacity in the APS environment. The importance of policy capacity to policy performance necessitates clarifying how the conditions for effective policy capacity can be shaped by environmental factors and how conditions might be engineered for improved performance. This study considers these issues through examination of policy capacity in APS social policy agencies. Performance and accountability instruments are key tools for establishing performance and behaviour in an institutional setting and have acted as key tools for reform of policy performance within the APS. However, how performance and accountability instruments determine the level of policy capacity in the APS environment, how policy capacity is built and the influence of contextual factors on policy capacity remain under-examined, implying some assumptions underlying past reforms of these instruments are untested. Performance and accountability instruments, like all administrative instruments, must meet multiple objectives in their implementation including administrative functionality and political ideological objectives. Those designed since 1980 are likely to have New Public Management (NPM) objectives at their core, such as efficiency and effectiveness, avoiding risk and performance measurement. However, these may be at odds with other objectives for policy work, such as the development of specialist skills, power-sharing, working across portfolios and systems, and working closely and responsively with the public. Social policy work objectives, in particular, can be hard-to-measure social wellbeing objectives that require working in ways that may be challenging for administrative efficiency such as working in consultative and inclusive ways and across multiple portfolios and their policy settings To examine policy capacity in APS social policy agencies, this exploratory study employs qualitative methods for content analysis of key APS performance and accountability documents and thematic analysis of interviews with APS social policy workers. The research framework is underpinned by critical realist principles and institutional theories. This study shows that while the APS performance and accountability framework builds social policy staff knowledge about policy capacity, it fails to enable social policy through an effective combination of hard and soft structures. This thesis argues that this failure to structure appropriately for policy capacity derives from competition between core expectations in the politico-administrative environment regarding the APS’ role in policy work and visions of policy capacity, suggesting that policy capacity is unrealistic in certain political and administrative systems. This argument suggests that policy capacity can face an uphill battle against the competing demands of political and administrative settings, even as the concept of policy capacity becomes more entrenched as desirable in academic and public sector discourse. This study contributes knowledge about building policy capacity, how context influences policy capacity and how performance and accountability instruments contribute to policy capacity, this study confirms principles in the extant public administration and institutional literature on the functioning and efficacy of administrative frameworks and NPM tools in shaping behaviour, knowledge, performance. The study also contributes new knowledge to the policy capacity and public administration literature regarding a concept of social policy capacity, how different types of performance and accountability structures shape the potential for policy capacity and can inform structural planning principles for developing policy capacity, and the influence of the politico-administrative context on policy capacity.

  • (2022) Nguyen, Robert
    Thesis
    Data-driven decision making is everywhere in the modern sporting world. The most well-known example of this is the Moneyball movement in Major League Baseball (MLB), which built on research by Sherri Nichols in the 1980s, but sport analytics has also driven major changes in strategy in basketball, the National Football League, and soccer. In Australia, sports analytics has not had quite the same influence in its major domestic codes. In this thesis, we develop tools to assist the analytics community in two major Australian commercial sports. For Australian Rules Football, the largest commercial sport in Australia, data was not readily accessible for the national competition, the Australian Football League (AFL). Data access is fundamental to data analysis, so this has been a major constraint on the capacity of the AFL analytics community to grow. In this thesis, this issued is solved by making AFL data readily accessible through the R package fitzRoy. This package has already proven to be quite successful and has seen uptake from the media, fans, and club analysts. Expected points models are widely used across sports to inform tactical decision making, but as currently implemented, they confound the effects of decisions on points scored and the situations that the decisions tend to be made in. In Chapter 3, a new expected points approach is proposed, which conditions on match situation when estimating the effect of decisions on expected points. Hence we call this a conditional Expected Points (cEP) model. Our cEP model is used to provide new insight into fourth Down (NFL) decision-making in the National Football League, and decision-making when awarded a penalty in Rugby League. The National Rugby League (NRL) is the leading competition of Australia’s second largest commercial sport it is played on a pitch that is 100m long and 70m wide, and the NRL have provided us with detailed event data from the previous five seasons, used in academic research for the first time in this thesis. We found that NRL teams should kick for goal from penalties much more often than is currently the case. In Chapter 4 we develop a live probability model for predicting the winner of a Rugby League game using data that is collected live. This model could be used by the National Rugby League during broadcasts to enhance their coverage by reporting live win probabilities. While most live probability models are constructed using scores only, the availability of live event data meant we could investigate whether models constructed using event data have better predictive performance. We were able to show that in addition to score differential that the addition of covariates such as missed tackles can improve the prediction. Clubs use their own domain knowledge to test their own live win probability theories with the R scripts that are provided to the NRL

  • (2022) Wang, Blair
    Thesis
    Digital work exemplifies the impact of Information Systems (IS) on everyday life in the modern world. Digital nomadism is an extreme incarnation of digital work, entailing knowledge workers mobilising — from fixed life and work arrangements in one place, to a lifestyle of travel and mobile, location-independent work — facilitated by digital technologies. Many see digital nomadism as a promising alternative to entrenched patterns in society, particularly in how workers relate to organisations and how citizens relate to nation states. However, others may critique and question digital nomadism for its shortcomings and ethical issues. This thesis engages with this fragmented discourse on digital nomadism by making contributions through the lens of critical theory. As this thesis outlines, critical theory is an intellectual tradition that sensitises scholars to critical-theoretic perspectives: Empowerment and Emancipation; Exploitation and Marginalization; Systems and Structures; Agency and Technology; Environment and Sustainability; Ethics and Morality. This thesis is comprised of four related papers. The first paper presents an overview of different types of theorising in critical-theoretic IS research, revealing a diverse philosophical landscape of intellectual foundations that can help scholars make sense of the interplay between critical-theoretic issues and IS phenomena like digital nomadism. The second paper then leverages the findings of the first paper, to present a literature review of digital nomadism from a critical theory perspective. The second paper reveals that critical-theoretic knowledge claims are already visible in the scholarly literature on digital nomadism but have yet to be fully understood, thus suggesting the need for future research. Based on this foundational understanding of the literature on digital nomadism and the literature on critical-theoretic IS research, the third and fourth papers make contributions based on empirical findings from fieldwork in major digital nomad destinations. The third paper employs the empirical findings to envision the future of post-COVID-19 knowledge work, based on a Hegelian dialectical perspective; and the fourth paper employs the empirical findings to reveal how digital nomadism entails an avenue for achieving workers’ emancipation that constitutes a departure from the traditional conceptualisation of emancipation in the nation state.

  • (2022) Yang, Yu
    Thesis
    Research in computational statistics develops numerically efficient methods to estimate statistical models, with Monte Carlo algorithms a subset of such methods. This thesis develops novel Monte Carlo methods to solve three important problems in Bayesian statistics. For many complex models, it is prohibitively expensive to run simulation methods such as Markov chain Monte Carlo (MCMC) on the model directly when the likelihood function includes an intractable term or is computationally challenging in some other way. The first two topics investigate models having such likelihoods. The third topic proposes a novel model to solve a popular question in causal inference, which requires solving a computationally challenging problem. The first application is to symbolic data analysis, where classical data are summarised and represented as symbolic objects. The likelihood function of such aggregated-level data is often intractable as it usually includes a high dimensional integral with large exponents. Bayesian inference on symbolic data is carried out in the thesis by using a pseudo-marginal method, which replaces the likelihood function with its unbiased estimate. The second application is to doubly intractable models, where the likelihood includes an intractable normalising constant. The pseudo-marginal method is combined with the introduction of an auxiliary variable to obtain simulation consistent inference. The proposed algorithm offers a generic solution to a wider range of problems, where the existing methods are often impractical as the assumptions required for their application do not hold. The last application is to causal inference using Bayesian additive regression trees (BART), a non-parametric Bayesian regression technique. The likelihood function is complex as it is based on a sum of trees whose structures change dynamically with the MCMC iterates. An extension to BART is developed to estimate the heterogeneous treatment effect, aiming to overcome the regularisation-induced confounding issue which is often observed in the direct application of BART in causal inference.

  • (2022) Amelia,
    Thesis
    The overall aim of this thesis is to provide a comprehensive understanding of customer acceptance of frontline service robots (FSR). To achieve this goal, three underpinning research objectives were first generated: (1) to develop and empirically examine a model of customer acceptance of FSR; (2) to investigate how customers evaluate and accept FSR in a service failure context; and (3) to examine potential moderators that may change the nature of the relationship in the empirical models. This thesis consists of three stand-alone studies that collectively contribute to understanding customer acceptance of FSR, as well as providing insightful managerial implications. The first study qualitatively explores the underlying factors that customers consider regarding FSR acceptance based on their interaction experiences with an FSR in a retail banking context. The results identified 16 dimensions, grouped into five main themes: the utilitarian aspect, social interaction, customer responses towards FSR, customer perspectives of the company brand, and individual and task heterogeneity. These provided initial evidence with which to develop a comprehensive FSR acceptance model. Drawing on self-determination theory (SDT), Study 2 developed and empirically tested a model of FSR acceptance as a function of the fulfillment of basic human needs. It revealed that FSR can provide psychological comfort by meeting functional and hedonic evaluations (i.e., functionality and enjoyment), that in turn lead to customer willingness to accept the technology. Additionally, implementing FSR can enhance customer perception of a firm’s innovativeness. The need for human interaction was also found to be a moderating variable that strengthens the effect of perceived sociability and social presence on customer evaluation of FSR functionality. Lastly, Study 3 – anchored in attribution theory and the concept of automated social presence – examined customer acceptance of FSR in a service failure context. The results showed that an internal (rather than external) locus of attribution and high social presence displayed by FSR produces a more positive evaluation of FSR functionality and psychological comfort, even when customers experience a service failure incident. Additionally, the findings suggest that perceived failure severity moderates the link between the locus of attribution and customer evaluation of FSR functionality, and psychological comfort.

  • (2022) Peters, Julian
    Thesis
    Essay 1. Since the GFC, banking regulators are increasing regulations to lower the risk of banking crises occurring in the future. These have focused on liquidity, asset composition, and capital requirements. This paper focuses on the loan rate effects of raising bank capital requirements. Previous calculations of loan rate effects predominately use the WACC formula, which implicitly assumes perfect competition. Banking is an industry where firms have market power. This paper develops a tractable model of an imperfectly competitive banking market, where the implicit cost of capital is naturally included in the optimization problem of the bank. I find that the magnitude of loan rate changes depends on the market structure and provide estimates for a calibrated Australian market. %This provides some validation of studies that use a blended MM approach. Essay 2. Using a tractable two-loan type banking model I analyse recent changes in capital regulation in Australia and NZ. My modelling shows, IRB banks were significantly advantaged by Basel II in generating ROE, but that subsequent changes in capital settings have slowly moved towards competitive neutrality. In addition, I analyse the minimum average risk weight policy for IRB banks (2016) and find that IRB banks are motivated to hold a higher proportion of risky loans and undoing composition efficiency. Moving back to risk-sensitive risk weights is desirable, but using a scalar multiple or correlation adjustment, reinstates the large advantage IRB banks have in low-risk loans. Lastly, I analyse RBNZ's proposed large increase in capital requirements using a two-country banking model. Due to NZ's dependence on IRB Australian banks, I find the loan rate impact of these changes depends on APRA's approach, with the loan rate effect much smaller than documented by the RBNZ. Essay 3. In Australia, mortgage brokers (MB) are paid by banks an upfront commission and a trail commission, rewarding the length of time a borrower stays with a bank. Both Hayne (2019) and PC (2018) recommend banning the trail commission but differ regarding who should pay the upfront commission, banks or customers. This paper uses a 2-period IO model of a mortgage market to analyse different MB remuneration options. I find if aggregator/MB firms are efficient, borrowers will benefit from banks' paying an upfront commission, with aggregator/MB firms no worse off and bank profits lower. In contrast, customers paying an upfront commission can be better for borrowers but will be worse for both aggregator/MB and banks. If a proportion of borrowers balk at paying MBs the commission, borrower gains are diminished, aggregator/MB firms are worse off, and some bank profits recouped.