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(2022) Dienemann, FabianThesisThis 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.
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(2022) Chong, TerrenceThesisAs 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.
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(2022) Nguyen, RobertThesisData-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
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(2022) Wang, BlairThesisDigital 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.
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(2022) Amelia,ThesisThe 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.
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(2023) Li, YulongThesisMortality modelling and projection is important for actuarial science and significant amount of research has been done in this regard. In addition to the systematic uncertainty over time, mortality risk can also vary across individuals of the same age, a phenomenon known as mortality heterogeneity. In this thesis, I propose and establish a mortality model incorporating health heterogeneity, based on which I assess the positive impact of considering health effects on both government and individual retirement finances. I also incorporate systematic mortality by health state and extend the estimation of cohort mortality models to incomplete cohort data. In cohort mortality modelling, the traditional Kalman Filter Algorithm (KFA) uses the complete older cohort data while ignoring the recent incomplete cohort data. The calibrated mortality model can lead to unreliable mortality projections especially for long-term projections. In the first part of the thesis, I extend the traditional KFA by incorporating recent incomplete cohort data in the model fitting process, ensuring the mortality model projection is more accurate and better captures cohort mortality developments. Then in the second part, I propose and estimate a finite-state Markov Ageing Model (MAM) incorporating health heterogeneity, which is calibrated based on Australian cohort mortality and health condition data. This model better captures both the mortality and health developments for individuals with different initial health status. We capture the feature that healthier individuals are more likely to survive, while less healthy individuals are more likely to die based on the calibrated model. Allowing for health heterogeneity when make retirement planning is important because of these differences. In the last part, I provide an impact analysis of the MyRetirement system (CIPRs) from two perspectives: first, I use the multi-state health mortality model with which we consider both systematic mortality and health heterogeneity. Second, I add health-linked components (deferred health annuities) to the CIPRs' portfolio framework, aiming to provide health-linked income streams for retirees when their health costs increase significantly. I show how this extension is beneficial both to the government, in terms of Age Pension payments, and to retirees, in terms of retirement incomes.
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(2022) Xian, AlanThesisThis thesis seeks to produce new methods for the analysis and prediction of counting processes through the usage of Markov-modulated non-homogeneous Poisson processes. The modelling framework was motivated by problems arising in general (non-life) insurnace but the developed techniques are applicable to a variety of different modelling contexts although specific innovations are implemented to deal with large data sources. An important issue dealt with in this thesis is that in many real world circumstances, it is often the case that the practitioner is able to rely on some domain knowledge or past experience to inform the modelling process. However, it is also unlikely that all drivers of events of interest are able to be adequately captured by a practitioner's chosen model due to data limitations and materiality concerns. The proposed modelling framework serves to link the modellable factors (allowing much flexibility in terms of model choice) with unmodellable/hard-to-model factors through the use of a hidden Markov structure. The separation of these two components provides advantages in terms of adaptability, interpretability and realism. Further, the model may also be utilised as a diagnostic/performance evaluation tool for the practitioner's chosen model and also for iterative model improvement. This thesis further produces a model calibration algorithm through the use of an Expectation-Maximisation procedure. Several improvements are made to enhance the practicability of the calibration by severely reducing computational requirements while allowing the procedure to be run on standard statistical software such as R. Additionally, both simulated and real world empirical demonstrations are provided to highlight that the out-of-sample predictions generated by this approach can produce superior forecast distributions compared to standard methods in practice. Finally, a computationally feasible method to generate parameter error estimates is developed to to assess the uncertainty of the model. Computational considerations are particularly necessary with large data sets where latent models such as the MMNPP provide value. This approach is shown to provide more realistic and distributionally accurate out-of-sample predictions. The benefits of this assessment are demonstrated using simulated and real data case studies which provide evidence of the advantages of incorporating parameter error considerations under the MMNPP framework.
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(2022) Khan, Fatima JamalThesisThis thesis consists of three self-contained essays in development economics. A key theme common to all essays is the examination of various issues pertaining to economic development in less-developed countries from a microeconomic perspective. In the thesis, I explore methods of increasing human capital and the impact of negative economic shocks on mental health as well as behavioural preferences, focusing on adults and children alike. This is done with a view to highlight policies that can be implemented to improve outcomes for those living in low-income settings where access to resources is scarce and public safety nets are lacking. In the first essay, I assess the impact of a classroom-based positive psychology intervention on improving academic performance by conducting a Randomised Control Trial (RCT) with 899 school-aged children (10-14) years across 29 schools in Pakistan. I find limited evidence that the RCT had an impact on improving well-being measures. I find some evidence of improvement in the sense of agency in the short term, with those in the treatment group scoring 0.34 SD higher than those in the control group. There is also some evidence of improvement in the Mathematics, English and Urdu scores in the medium-long term; being in the treatment group is associated with 0.48 SD higher Mathematics scores, 0.32 SD higher English scores and 0.43 SD higher Urdu scores, and these results are statistically significant. I also find evidence that parental investment preferences modify the impacts of the intervention. Overall, the results suggest that young children require a support structure to succeed in their academic endeavours and while classroom-based interventions can improve learning outcomes to a certain extent, they need to be accompanied with the right support at home. In the second co-authored essay, we combine data collected just prior to the unfolding of COVID-19 with follow-up data from July 2020 to document the adverse economic effects of the pandemic and resulting impact on parental and child mental well-being in rural and semi-urban Pakistan. We find that 22% of the households in our sample are affected by job loss, with monthly income down 39% on average. Our difference-in-difference results show that job loss is associated with a 0.88 standard deviation (SD) reduction in adult mental health score (K10), a 0.43 SD reduction in a ‘Hope’ index of children’s aspirations, agency and future pathways, and a 0.39 SD increase in children’s depression symptoms. In addition, we observe higher levels of parental stress and anger reported by children, as well as an increase in reported prevalence of domestic violence. Overall, we document that the pandemic has disproportionately and negatively affected the economic and mental well-being of the most vulnerable households in our sample. In the third co-authored essay, we investigate the possibility that females and males had a distinct path in the evolution of competitiveness and cooperation. We conducted an experiment to elicit preferences for in-group egalitarianism and individual competitiveness for a random sample of 751 individuals in Sierra Leone (aged 18-85) to contrast the behavioural consequences of victimisation during the 1991-2003 civil war across gender and parental roles. Our data shows that mothers and fathers display the highest level of cooperation, yet conflict exposure does not affect them. Egalitarianism increases after victimisation only among non-parents, with the effect stronger for males who are the least egalitarian to start with. Conflict exposure tames everyone’s competitive tendencies, but has the opposite effect for mothers, the least competitive in the absence of conflict. A sample of competitiveness among 191 parents from Colombia shows a similar effect. Our results imply that conflict, by closing gender and parental gaps in behaviour, selects for pressures to reduce within-group differences possibly to enhance internal cooperation. It primes individuals towards group and individual survival depending on both gender and parental role. Overall, the thesis provides novel insights into some of the many challenges faced by low-income populations, including education and a lack of public safety nets. It also explores the consequences of negative economic shocks on mental health and behavioural preferences.
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(2022) Sun, NingyiThesisIn this thesis, I study the question of how a policymaker should make a decision when the information is dispersed among social agents whose characteristics are interdependent, i.e., one agent's type depends on both her own signal and others' information. There are two challenges for the policymaker to make the institution more flexible. First, the interdependence of the agents presents difficulty to characterize the optimal mechanism by its implied multidimensionality. Second, the policymaker may face uncertainty over the beliefs of the agents and the equilibrium they would choose. This thesis contributes to the design of more flexible institutions by developing novel tools and methodologies to tackle these challenges. This thesis also demonstrates several important applications of the new techniques. Chapter 1 introduces a novel multidimensional majorization concept and shows the ordinal, topological features and convexity of the relevant function space. The new concept and properties are used to extend Myerson's ironing method for multivariate ironing of interdependent preferences. In this chapter, the multivariate ironing technique is used to solve a class of quasi-linear adverse-selection models with one principal and multiple agents. As demonstrated in Chapter 1, the optimal solution involves a particular partition of the type profile space. In Chapter 2, however, we consider all allowable partitions and introduce an innovative approach to geometrise these. Allowable partitions, with refinement-coarsening partial order, form a poset that can be represented by a Hasse diagram. The poset can be transformed into its secondary polytope in Euclidean space by the characteristic function. Chapter 2 derives not only the optimal mechanism but also determines the payoff environment in which one particular partition is optimal. Chapter 3 further introduces an admission-control scheme and derives the optimal public-control mechanism. The chapter examines two applications where public control plays an important role – supply chain regulation and club goods provision – to find the optimal policies for maximising social welfare. The chapter also provides some numerical examples to illustrate the characteristics of the optimal mechanisms with and without admission control.
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(2022) Yu, AvaThesisThis thesis reports three interrelated studies of co-creation (CC) in the services domain, with special reference to higher education and the knowledge economy. The first study presents a comprehensive conceptual framework of CC in services based on a scoping review of 272 published papers. The framework draws together knowledge of CC, its antecedents, and consequences, and considers moderating factors and feedback. Derived from the framework are seven key propositions about the CC process. The second study delves deeper into interpreting CC in practice with the help of 54 insiders—students, teachers, and professional staff from Australian higher education institutions. Through a series of interviews and focus groups, the mechanisms of CC are examined to identify some insights hitherto neglected in the literature. Light is cast on the CC continuum, CC evolution, and two layers of the CC feedback loop. We draw attention to several important moderating factors and, as well as noting the positive consequences of CC, we highlight negative outcomes such as co-destruction and reactance. To facilitate further empirical investigation of CC, the third study develops a CC scale. We use the C-OAR-SE approach, which mixes qualitative and quantitative methods in the scale development procedure. Also demonstrated is the application of the new scale in a survey of 697 participants to explore relationships between CC and its consequences. Considered too are the moderating impacts of perceived competition, work experience, class size, and stage of learning. The thesis identifies a comprehensive literature-based framework and a practice-based overview of CC, deepening our conceptual and theoretical understanding of the focal concept. Methodologically, it offers a new CC scale and lends credence to the application of the C- OAR-SE method, providing a tool for future inquiries. Practically, this thesis provides evidence-based guidance for practitioners to leverage CC for better educational service outcomes. Acknowledging the concern of generalizability and unexplored propositions, researchers could extend the empirical investigation of moderators, feedback, negative outcomes, and boundary conditions.
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