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Research

The Academic Research Grants Program

The Melbourne Centre has granted research projects based on the following research areas.

 


Financial Regulation

 
Discussion Paper
Working Paper

2008

 
  • Financial Innovation, Bank Default Risk and Banking System Stability
  • Carsten Murawski, University of Melbourne
    Markus Leippold, Imperial College
 
  • Optimal management of operational risk using a Bayesian Decision Network model
  • Andrew Sanford, Monash University
    Imad Moosa, Monash University
 

2007

  • Busy Boards: The Effect of Multiple Directorships on Corporate Governance, Firm Monitoring and Performance in Australia
    Chander Shekhar, University of Melbourne
    Chongwoo Choe, Monash University
 
  • Rights Offerings, Renounceability Underwritten Status, Ownership Structure and Liquidity
    Balasingham Balachandran, Monash University
    Robert Faff, Monash University
    Michael Theobald, Monash University
 
  • Board Structure, Fee-setting and Performance of Australian Superannuation Funds
    Madhu Veeraraghavan, Monash University
    Vijaya Marisetty, Monash University
    Robert Faff, Monash University
    Richard Heaney, RMIT
    Francis In, Monash University
 
  • The relationship between corporate governance and management earnings forecasts being informative in a continuous disclosure environment
    Howard Chan, University of Melbourne
    Robert Faff, Monash University
    Paul Mather, Monash University
    Alan Ramsay, Monash University
 

2006

Round 2

 
  • Is a mandatory ‘Quiet Period’ appropriate in the new issues market?
  • Victor Fang, Dept. of Acc. and Fin, Monash University
 
  • The Costs of Financial Services Regulation in Australia:The Price of Consuming Regulation
  • Heather Mitchell, Sch. of Eco, Fin and Marketing, RMIT
    Terrence Hallahan, Sch. of Eco, Fin and Marketing, RMIT
    Bruce Cowling, Sch. of Eco, Fin and Marketing, RMIT
Working Paper
  • The role of trust and competence in the supply of external advice to SMEs in Australia
  • George Tanewski, Dept. of Acc. & Fin, Monash University
    Peter Carey, Dept. of Acc. & Fin, Monash University
 
  • A Consistent Framework for Stressing Credit Risk Parameters
  • Harald Scheule, Dept of Fin, Melbourne University
    Daniel Roesch, Dept. of Statistics, University of Regensburg, Germany
  • An Investigation into the Chinese Exchange Rate Regime and its Implications for International Financial and Trading Relations
    Imad Moosa, Dept of Acc & Fin, Monash University
    Larry Li,Dept of Eco & Fin, La Trobe University
    Tony Naughton, Sch. of Eco, Fin and Marketing, RMIT

Round 1

  • Director Share Trading: Disclosure and Market Integrity
    Robert Faff, Dept. of Accounting and Finance, Monash University
    Steve Easton, School of Business, University of Newcastle
 
  • Corporate Governance and Risk-Taking of US Banks
    Michael Skully, J. Wickramanayake, Dept. of Accounting and Finance, Monash University
 
  • Alternative Methods of Issuing Equity in Australia: Effects of Rights Issues and Private Placements on Shareholder Wealth and Ownership Structure
    Chander Shekhar, University of Melbourne
    Vladimir Atanasov, College of William & Mary, USA
 
  • Dividend Strip and Information Revelation
    Qi Zeng, Dept. of Finance, University of Melbourne
 

2005

  • South East Asian Corporate Board Size
    Richard Heaney, School of Econ, Fin. & Marketing, RMIT

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Funds Management

 
Discussion Paper
Working Paper

2008

 
  • The Relation between Asset Volatility, Credit Quality and Recovery
    Harald Scheule, University of Melbourne
Discussion Paper
 
  • Is there market timing in the Australian Mutual funds?
    Francis In, Monash University
Discussion Paper
 
  • Dividend Reductions and Signalling in an Imputation Environment
    Balasingham Balachandran, Monash University
    Chandra Krishnamurti, Auckland University of Technology
    Michael Theobald, University of Birmingham
Discussion Paper
 
  • Fund style analysis with time varying exposures
    Philip Gharghori, Monash University
    Robert Faff, Monash University
Discussion Paper
 
  • Investing in negative book equity stocks that do not default
    Paul Lajbcgier, Monash University
    Philip Gharghori, Monash University
Discussion Paper
 
  • A Study of Companies Listed on the Australian Securities Exchange based on the Commitments Test Entity Rule
    Madhu Veeraraghavan, Monash University
    Zoltan Murgulov, Monash University
Discussion Paper
 

2007

   
  • Understanding the risks in and the rewards for pairs-trading
    Michael Chng, University of Melbourne
 
  • Issues with Non-Market Capitalization Weighted Indices in the US
    Paul Lajbcygier, Monash University
    Madhu Veeraraghavan, Monash University
    Mike Dempsey, Monash University
    L. Irlicht, VFMC
    L. de Bever, VFMC
 
  • Time aggregation properties of tail dependence between hedge funds and the equity market
    Francis In, Monash University
 
  • Migration, Size and Value Premium: Australian Evidence
    Philip Gharghori, Monash University
    Madhu Veeraraghavan, Monash University
 
  • The Characteristics and Performance of Listed Managed Investment Companies in Australia
    Terrence Hallahan, RMIT
   
  • Conditional Performance Evaluation incorporating Time Changing Alpha and Beta in Australian Managed Funds: A Kalman Filter Approach
    Terrence Hallahan, RMIT
   

2006

Round 2

   
  • The Impact of Anonymous Trading on SFE Market Microstructure
  • Sean Pinder, Dept of Fin, Melbourne University
    Christine Brown, Dept of Fin, Melbourne Unviersity
 
  • Intraday and Interday Time-Zone Volatility Forecasting
  • Petko KaLev, Dept of Acc. and Fin, Monash University
 
  • The Identification ofIssues Relating to the Marketing Orientation of Managed Funds
  • Kate Westberg, Sch. of Eco, Fin and Marketing, RMIT
    Terrence Hallahan, Sch. of Eco, Fin and Marketing, RMIT
    Michael Schwartz, Sch. of Eco, Fin and Marketing, RMIT
 
  • Fundamental Indexation Down Under: An Examination of the Performance of Non-Capitalization Weighted Indexation in the Australian Equity Market
  • Terrence Hallahan, Sch. of Eco, Fin and Marketing, RMIT
    Norm Sinclair, Sch. of Eco, Fin and Marketing, RMIT
 
  • Does Investor Disagreement Explain Stock Returns or Managed Fund Returns?
  • Philip Gharghori, Dept. of Acc. & Fin, Monash University
    Quin See, Dept. of Acc. & Fin, Monash University
    Madhu Veeraraghavan, Dept. of Acc. & Fin, Monash University
 
    • Is Difference of Opinion among Investors a Source of Risk?
 
  • International Evidence on the Other January Effect
  • Sean Pinder, Dept of Fin, Melbourne University
    Steve Easton, School of Bus, Newcastle University
 
  • Revealing Market Expectations with Derivatives
  • Bruce Grundy, Dept of Fin, Melbourne University
    Paul Kofman, Dept of Fin, Melbourne University
 
  • Understanding the Risks in and Rewards for Pairs Trading
  • Michael T. Chng, Department ofFinance, Melbourne University
    Aihua Xia, Dept of Mathematics and Statistics, Melbourne University
  • The Nature and Impact of Short Selling in the Hong Kong Stock Market
    Michael McKenzie, School of Econ, Fin and Marketing, RMIT University
    Olan Henry, Department of Economics, Melbourne University
    • The Information Content of Trading Volume and Short Sales
 

 

Round 1

   
  • Validating the characteristics based asset pricing approach using a statistical clustering asset pricing model
    Prof. Steven Brown, New York University
    Prof. Robert Faff, Dept. of Accounting and Finance, Monash University
    Dr. Paul Lajbcygier, Faculty of Information Technology, Monash University
    Assoc. Prof. Madhu Veeraraghavan, Dept. of Accounting and Finance, Monash University
  • A new approach to the evaluation of mutual fund performance: the case study of Australia and US mutual funds
    Francis In, Dept. of Accounting and Finance, Monash University
  • Optimal Fund Size, Funds Flows and Fund Performance in the Presence of Structural Breaks
    Dr Petko S. Kalev, Dept. of Accounting and Finance, Monash University
    Assoc. Prof. Mark Harris, Dept. of Econometrics and Business Statistics, Monash University
  • Alternative Risk Indices for the Mutual Fund Industry
    Mike Dempsey, Mohammad Ariff. Dept of Accounting and Finance, Monash University
  • Towards a Reconciliation of Portfolio Theory and Empirical Outcomes in Stock Price Behaviour: Australian Evidence
    Mike Dempsey, Madhu Veeraraghavan, Dept of Accounting and Finance, Monash University
    • Are Beta, Firm Size, Liquidity and Idiosyncratic Volatility related to Stock Returns? --- Australian Evidence
 
    • The Fama and French Model and Leverage:Compatibility with the Modigliani and Miller Propositions
 
    • The Significance of Beta for Australian Stock Return
 
  • An Investigation into the Smart Money Effect in Australian Superannuation Funds
    Madhu Veeraraghavan, Philip Gharghori, Dept of Accounting and Finance, Monash University
  • Foreign entry into the Australian funds management industry through investment advisory alliances
    Robert Faff, Dept. of Accounting and Finance, Monash University;
    Jerry Parwada, School of Banking and Finance, University of New South Wales
  • Dynamic Hedge Funds Allocation – An Adaptive Neuro-fuzzy Inference System (ANFIS) Approach
    Dr Victor Fang, Dept. of Accounting and Finance, Monash University;
    Dr Vincent LEE, Clayton School of IT, Monash University
    Dr K. F. PHOON, Dept. of Accounting and Finance, Monash University

2005

   
  • Rating Transitions: How Do They Vary With the Business Cycle?
    Guay Lim, Michael Chua and Penny Smith, Melbourne Institution of Applied Econ. & Soc. Research, University of Melbourne
  • Analyst Incentive and Signals: The Role of the Institutional and Disclosure Environment
    Howard Chan and Rob Brown, Dep. Of Finance, University of Melbourne
    Robert Faff, Dept. of Accounting & Finance, Monash University
  • Modelling Time-Varying Asymmetric Foreign Exchange Exposures
    Robert Faff and Robert Brooks, Dept. of Accounting & Finance, Monash University
    Jonathan Dark, Dep. of Econometrics & Bus Stats, Monash University
    Amalia Di Iorio and Tim Fry School of Econ, Fin and Marketing, RMIT
    Yovina Joymungul, Dep. of Econometrics & Bus Stats, Monash University
  • The Systematic Risk Effect of Hybrid Securities Classifications
    Jayne Godfrey, Farshid Navissi and Keryn Chalmers, Dept. of Accounting & Finance, Monash University
  • Price Discovery in Spot and Derivative Equity Markets
    Dr Petko Kalev, Dept. of Accounting & Finance, Monash University
    Prof. Sugato Chakravarty, Dept. of Consumer Sciences & Management, Purdue University

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New Financial Markets and Instruments

Discussion Paper
Working Paper

2007

   
  • Macroeconomic analysis of market prices for Collateralized Debt Obligations
    Harald Scheule, University of Melbourne
 

2006

Round 2

   
  • An Exploratory Study in the Pricing of Credit Default Swaps
    Vikash Ramiah, Sch. of Eco, Fin and Marketing, RMIT
    Tony Naughton, Sch. of Eco, Fin and Marketing, RMIT
    George Tawadros, Sch. of Eco, Fin and Marketing, RMIT
 

2005

   
  • Integrated Framework for Financial Ship Risk
    Daniel Rosch, Leibniz University
    Harald Scheule, Dept. of Finance, University of Melbourne
    • Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking
 
  • The price formation of substitute markets: Theory and empirical applications
    Michael T Chng, Dept. of Accounting and Finance, Monash University
    Aihua Xia, Dept. of Maths & Stats, University of Melbourne
  • Electricity Pricing
    Richard Heaney, Heather Mitchell, Vikash Ramiah, and Stuart Thomas, Sch of Econ, Fin. & Marketing, RMIT
    • Seasonal Factors and Outlier Effects in Returns on Electricity Spot Prices in Australia’s National Electricity Market
      Stuart Thomas, Vikash Ramiah, Heather Mitchell and Richard Heaney
 
    • GARCH Modelling of High-Frequency Volatility in Australia’s National Electricity Market
      Stuart Thomas and Heather Mitchell
 
  • The end of non-tradable shares in China: Modeling the impact on existing shareholders
    Prof. Tony Naughton, Dept. of Econ, Fin. And Marketing, RMIT
    Assoc. Prof. Madhu Veeraraghavan, Dept. of Acc. & Fin., Monash University
    Prof. Charles Corrado, Dept. of Commerce, Massey University
    Dr. Larry Li, Dept. of Econ & Fin., School of Business, LaTrobe University
   

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Other Areas

 
Discussion Paper
Working Paper

2008

   
  • The Impact of Tax Provisions on the Probability of Investment in Residential Real Estate by Private Investors
    Callum Scott, University of Melbourne
    Greg Schwann, University of Melbourne
    Rob Brown, University of Melbourne
    Ranya Brown, University of Melbourne
 
  • The Interest Rate Setting Behaviour of Australian Banks
    Guay Lim, MIAESR
    Sam Tsiaolias, MIAESR
    Michael Chua, MIAESR
 
  • Synergystic gains in the 21st century - The role of R&D in Australian Mergers and Acquisitions from 2000 to 2008
    Amalia Di Iorio, RMIT
    Richard Heaney, RMIT
    Michael Graham, RMIT
    Terrence Hallahan, RMIT
 

2006

   
  • Do Australian firms have a lower propensity to undertake R&D?
    Sinclair Davidson, RMIT University
 

2005

   
  • Dynamic Capital Structure Choice
    Xin Chang, Dep. Of Finance, University of Melbourne
    Sudipto Dasgupta, Dep. Of Finance, Hong Kong University of Science and Technology
  • Does the diversification penalty crowd out R&D value?
    Sinclair Davidson, School of Econ, Fin. & Markets, RMIT
    Robert Brooks, Dept. of Econometrics & Bus. Stats, Monash University
    Matt Taylor, Social Policy Analysis, Evaluation and Research Centre, Australian National University
  • Improving Techniques for Evaluating Financial Literacy and Inclusion Programs
    Tim Fry, School of Eco, Finance & Mark, RMIT
    Roslyn Russell, Research Dev. Unit Bus, RMIT
    Robert Brooks, Dept. of Econometrics & Bus. Stats, Monash University
    Sandra Mihajilo, School of Eco, Finance & Mark, RMIT
    • Evaluation of the Australian MoneyMinded Financial Literacy Program
 
    • The Factors Influencing Saving in a Matched Savings Program: The Case of the Australian Saver Plus Program
 
  • Succession Financing in Small and Medium Sized Enterprises in Australia
    Asjeet Lamba and Andre Gygax, Dept. of Finance, University of Melbourne
 

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