Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

The development of fast bowling experts in Australian cricket

In this paper, we highlight key concepts from dynamical systems theory and complexity sciences to exemplify constraints on talent development in a sample of elite cricketers. Eleven international fast bowlers who cumulatively had taken more than 2,400 test wickets in over 600 international test matches were interviewed using an in-depth, open-ended, and semi-structured approach. Qualitative data were analysed to identify key components in fast bowling expertise development. Results revealed that, contrary to traditional perspectives, the athletes progressed through unique, nonlinear trajectories of development, which appears to be a commonality in the experts' developmental pathways. During development, individual experts encountered unique constraints on the acquisition of expertise in cricket fast bowling, resulting in unique performance adaptations. Specifically, data illustrated experts' ability to continually adapt behaviours under multifaceted ecological constraints.

Palliative care in undergraduate curricula : Results of a national scoping study

Background: We wished to explore the ways in which palliative care is included in undergraduate health services curricula in Australia and the barriers to, and opportunities for, such inclusion. Methods: A scoping study of current Australian undergraduate health care curricula, using an email survey of deans (or equivalent) of health faculties was designed utilising all Australian undergraduate courses that prepare medicine, nursing and allied health professionals for entry to practice. Participants were deans or faculty heads from health and related faculties which offered courses relevant to the project, identified from the Australian Government Department of Education, Science and Training website. Sixty-two deans (or equivalent) from 41 Australian universities were surveyed. A total of 42 completed surveys were returned (68% of deans). Main outcome measures were total hours, content, teaching and learning strategies and resources for palliative care education in undergraduate curricula; perceived gaps, barriers, and opportunities to support the inclusion of palliative care education in undergraduate curricula. Results: Forty-five percent of respondents reported the content of current curricula reflected the palliative approach to a large degree. More than half of the respondents reported that their course had palliative care components integrated to a minor degree and a further third to a moderate degree. The number of hours dedicated to palliative care and teaching and learning strategies varied across all respondents, although there was a high degree of commonality in content areas taught. Conclusion: Current Australian undergraduate courses vary widely in the nature and extent to which they provide education in palliative care.

The importance of group-fit in new director selection

Purpose Director selection is an important yet under-researched topic. The purpose of this paper is to contribute to extant literature by gaining a greater understanding into how and why new board members are recruited. Design/methodology/approach This exploratory study uses in-depth interviews with Australian non-executive directors to identify what selection criteria are deemed most important when selecting new director candidates and how selection practices vary between organisations. Findings The findings indicate that appointments to the board are based on two key attributes: first, the candidates’ ability to contribute complementary skills and second, the candidates’ ability to work well with the existing board. Despite commonality in these broad criteria, board selection approaches vary considerably between organisations. As a result, some boards do not adequately assess both criteria when appointing a new director hence increasing the chance of a mis-fit between the position and the appointed director. Research limitations/implications The study highlights the importance of both individual technical capabilities and social compatibility in director selections. The authors introduce a new perspective through which future research may consider director selection: fit. Originality/value The in-depth analysis of the director selection process highlights some less obvious and more nuanced issues surrounding directors’ appointment to the board. Recurrent patterns indicate the need for both technical and social considerations. Hence the study is a first step in synthesising the current literature and illustrates the need for a multi-theoretical approach in future director selection research.

Cells Tissues Organs : preface

This volume stems from the 1st International Conference on Epithelial-Mesenchymal Transitions (EMT), which was convened by the editors on October 5–8, 2003 in the beautiful setting of Port Douglas, Queensland, Australia. EMT, the name given to the transformation of cells arranged in a coherent layer – epithelial cells – to more individualistic and potential motile cells – mesenchymal cells – was recognized decades ago by Prof. Elisabeth (Betty) Hay (Harvard Medical School, Boston, Mass., USA) as a primary mechanism in embryogenesis for remodelling tissues. More recently EMT has been seen as crucial to the spread and invasion of carcinoma, and more recently still, EMT-like changes have been detected in various pathologies marked by fi brosis. Despite the basic and clinical importance of EMT, this extremely rapidly growing fi eld had never previously had a conference devoted to it, and indeed the disciplines of developmental biology, cancer and pathology rarely interact although they have much to share. The chapters assembled for this volume encompass these three major themes of the meeting, development, pathology and cancer, and further highlight the commonality in terms of mechanisms and outcomes among them...

Editorial of "International Journal of Critical Indigenous Studies Volume 2, Number 1, 2009"

Over the past two decades neo liberalism has shaped global economic activity. The international reach of the current economic crisis propelled by the subprime mortgage meltdown in the United States has affected Indigenous communities in different ways to those whose investments were depleted by the Wall Street activities of an unregulated corporate and banking sector. Throughout this roller coaster economic ride the low socio-economic position of Indigenous peoples continued in Canada, the United States of America, New Zealand, Hawaii and Australia. The logic, or illogic of capital, failed to extend the boom of the economic upturn to Indigenous peoples, but is poised to extend the repercussions of the current downturn deep into Indigenous lives. The consistency of the Indigenous socio-economic position across these countries, even where treaties exist, indicates that the phenomenon is based on a shared Indigenous reality. In this special edition, the commonality in the way in which Indigenous people are engaged in and positioned by market forces and regulation by their respective nation states is proposed as one of the foundation plates of that Indigenous positioning...

Ownership, corporate governance and liquidity in Caribbean firms

This thesis provides the first evidence on how ownership structure and corporate governance relate to stock liquidity in the Caribbean. Based on panel data of 71 firms from three selected Caribbean markets − Barbados, Jamaica, and Trinidad & Tobago − results show that firms with concentrated ownership are associated with lower liquidity. The identity of the largest shareholder also matters: family firms and firms with foreign holding companies are more liquid than government firms. Although the second largest shareholding does not appear to matter to liquidity, there is some evidence showing that firms with foreign holding companies as the second largest shareholder are less liquid. Caribbean firms suffer from poor corporate governance but this study is unable to establish a significant relationship between corporate governance and liquidity.

Nation & internation practices in decision support tools in road asset management

This document provides a review of international and national practices in investment decision support tools in road asset management. Efforts were concentrated on identifying analytic frameworks, evaluation methodologies and criteria adopted by current tools. Emphasis was also given to how current approaches support Triple Bottom Line decision-making. Benefit Cost Analysis and Multiple Criteria Analysis are principle methodologies in supporting decision-making in Road Asset Management. The complexity of the applications shows significant differences in international practices. There is continuing discussion amongst practitioners and researchers regarding to which one is more appropriate in supporting decision-making. It is suggested that the two approaches should be regarded as complementary instead of competitive means. Multiple Criteria Analysis may be particularly helpful in early stages of project development, say strategic planning. Benefit Cost Analysis is used most widely for project prioritisation and selecting the final project from amongst a set of alternatives. Benefit Cost Analysis approach is useful tool for investment decision-making from an economic perspective. An extension of the approach, which includes social and environmental externalities, is currently used in supporting Triple Bottom Line decision-making in the road sector. However, efforts should be given to several issues in the applications. First of all, there is a need to reach a degree of commonality on considering social and environmental externalities, which may be achieved by aggregating the best practices. At different decision-making level, the detail of consideration of the externalities should be different. It is intended to develop a generic framework to coordinate the range of existing practices. The standard framework will also be helpful in reducing double counting, which appears in some current practices. Cautions should also be given to the methods of determining the value of social and environmental externalities. A number of methods, such as market price, resource costs and Willingness to Pay, are found in the review. The use of unreasonable monetisation methods in some cases has discredited Benefit Cost Analysis in the eyes of decision makers and the public. Some social externalities, such as employment and regional economic impacts, are generally omitted in current practices. This is due to the lack of information and credible models. It may be appropriate to consider these externalities in qualitative forms in a Multiple Criteria Analysis. Consensus has been reached in considering noise and air pollution in international practices. However, Australia practices generally omitted these externalities. Equity is an important consideration in Road Asset Management. The considerations are either between regions, or social groups, such as income, age, gender, disable, etc. In current practice, there is not a well developed quantitative measure for equity issues. More research is needed to target this issue. Although Multiple Criteria Analysis has been used for decades, there is not a generally accepted framework in the choice of modelling methods and various externalities. The result is that different analysts are unlikely to reach consistent conclusions about a policy measure. In current practices, some favour using methods which are able to prioritise alternatives, such as Goal Programming, Goal Achievement Matrix, Analytic Hierarchy Process. The others just present various impacts to decision-makers to characterise the projects. Weighting and scoring system are critical in most Multiple Criteria Analysis. However, the processes of assessing weights and scores were criticised as highly arbitrary and subjective. It is essential that the process should be as transparent as possible. Obtaining weights and scores by consulting local communities is a common practice, but is likely to result in bias towards local interests. Interactive approach has the advantage in helping decision-makers elaborating their preferences. However, computation burden may result in lose of interests of decision-makers during the solution process of a large-scale problem, say a large state road network. Current practices tend to use cardinal or ordinal scales in measure in non-monetised externalities. Distorted valuations can occur where variables measured in physical units, are converted to scales. For example, decibels of noise converts to a scale of -4 to +4 with a linear transformation, the difference between 3 and 4 represents a far greater increase in discomfort to people than the increase from 0 to 1. It is suggested to assign different weights to individual score. Due to overlapped goals, the problem of double counting also appears in some of Multiple Criteria Analysis. The situation can be improved by carefully selecting and defining investment goals and criteria. Other issues, such as the treatment of time effect, incorporating risk and uncertainty, have been given scant attention in current practices. This report suggested establishing a common analytic framework to deal with these issues.

Compliance with international financial reporting standards (IFRS) and the value relevance of accounting information in emerging stock markets : evidence from Kuwait

Since the 1960s, the value relevance of accounting information has been an important topic in accounting research. The value relevance research provides evidence as to whether accounting numbers relate to corporate value in a predicted manner (Beaver, 2002). Such research is not only important for investors but also provides useful insights into accounting reporting effectiveness for standard setters and other users. Both the quality of accounting standards used and the effectiveness associated with implementing these standards are fundamental prerequisites for high value relevance (Hellstrom, 2006). However, while the literature comprehensively documents the value relevance of accounting information in developed markets, little attention has been given to emerging markets where the quality of accounting standards and their enforcement are questionable. Moreover, there is currently no known research that explores the association between level of compliance with International Financial Reporting Standards (IFRS) and the value relevance of accounting information. Motivated by the lack of research on the value relevance of accounting information in emerging markets and the unique institutional setting in Kuwait, this study has three objectives. First, it investigates the extent of compliance with IFRS with respect to firms listed on the Kuwait Stock Exchange (KSE). Second, it examines the value relevance of accounting information produced by KSE-listed firms over the 1995 to 2006 period. The third objective links the first two and explores the association between the level of compliance with IFRS and the value relevance of accounting information to market participants. Since it is among the first countries to adopt IFRS, Kuwait provides an ideal setting in which to explore these objectives. In addition, the Kuwaiti accounting environment provides an interesting regulatory context in which each KSE-listed firm is required to appoint at least two external auditors from separate auditing firms. Based on the research objectives, five research questions (RQs) are addressed. RQ1 and RQ2 aim to determine the extent to which KSE-listed firms comply with IFRS and factors contributing to variations in compliance levels. These factors include firm attributes (firm age, leverage, size, profitability, liquidity), the number of brand name (Big-4) auditing firms auditing a firm’s financial statements, and industry categorization. RQ3 and RQ4 address the value relevance of IFRS-based financial statements to investors. RQ5 addresses whether the level of compliance with IFRS contributes to the value relevance of accounting information provided to investors. Based on the potential improvement in value relevance from adopting and complying with IFRS, it is predicted that the higher the level of compliance with IFRS, the greater the value relevance of book values and earnings. The research design of the study consists of two parts. First, in accordance with prior disclosure research, the level of compliance with mandatory IFRS is examined using a disclosure index. Second, the value relevance of financial statement information, specifically, earnings and book value, is examined empirically using two valuation models: price and returns models. The combined empirical evidence that results from the application of both models provides comprehensive insights into value relevance of accounting information in an emerging market setting. Consistent with expectations, the results show the average level of compliance with IFRS mandatory disclosures for all KSE-listed firms in 2006 was 72.6 percent; thus, indicating KSE-listed firms generally did not fully comply with all requirements. Significant variations in the extent of compliance are observed among firms and across accounting standards. As predicted, older, highly leveraged, larger, and profitable KSE-listed firms are more likely to comply with IFRS required disclosures. Interestingly, significant differences in the level of compliance are observed across the three possible auditor combinations of two Big-4, two non-Big 4, and mixed audit firm types. The results for the price and returns models provide evidence that earnings and book values are significant factors in the valuation of KSE-listed firms during the 1995 to 2006 period. However, the results show that the value relevance of earnings and book values decreased significantly during that period, suggesting that investors rely less on financial statements, possibly due to the increase in the available non-financial statement sources. Notwithstanding this decline, a significant association is observed between the level of compliance with IFRS and the value relevance of earnings and book value to KSE investors. The findings make several important contributions. First, they raise concerns about the effectiveness of the regulatory body that oversees compliance with IFRS in Kuwait. Second, they challenge the effectiveness of the two-auditor requirement in promoting compliance with regulations as well as the associated cost-benefit of this requirement for firms. Third, they provide the first known empirical evidence linking the level of IFRS compliance with the value relevance of financial statement information. Finally, the findings are relevant for standard setters and for their current review of KSE regulations. In particular, they highlight the importance of establishing and maintaining adequate monitoring and enforcement mechanisms to ensure compliance with accounting standards. In addition, the finding that stricter compliance with IFRS improves the value relevance of accounting information highlights the importance of full compliance with IFRS and not just mere adoption.

Towards human and social innovation: not wanting to know in order to create

The formation of a venture relies, in part, upon the participants reaching a shared understanding of purpose and process. Yet in circumstances of great complexity and uncertainty how can such a shared understanding be created? If the response to complexity and uncertainty is to seek simplicity in order to find commonality then what is lost and what is at risk? Can shared understandings of purpose and process be arrived at by embracing complexity and uncertainty and if so how? These questions led us to explore the process of dialogue and communication of a team in its formative stages. Our interests were not centred upon the behavioural characteristics of the individuals in the 'forming' stage of group dynamics but rather the process of cognitive and linguistic turns, the wax and wan of ideas and, the formation of shared meaning. This process of cognitive and linguistic turns was focused thematically on the areas of foresight, innovation, entrepreneurship, and public policy. This cross disciplinary exploration sought to explore potential synergies between these domains, in particular in developing a conceptual basis for long term thinking that can inform wiser public policy.

The application of financial ratios in analysing nonprofit organisations

Historically ratios have been used to assess the financial standing of profit organisations. It would be expected the role which such ratios play in analysing nonprofit organisations would be considerably different due to the lack of profit motive. Many traditional ratios are based on profitability as a benchmark. The nonprofit sector plays an important role in society yet to date there has been no research carried out on financial statement analysis for nonprofit organisations in Australia. This paper examines ratios of a group of nonprofit organisations and assesses the applicability of the traditional profit-based ratios to nonprofit organisations. Financial statements of a sample of charities registered in Queensland are analysed. The traditional profitability, liquidity and financial stability ratios are analysed and calculated wherever practicable and compared to the typical benchmarks used in profit analysis.

The sound of music : sharing song selections between collocated strangers in public urban places

This paper presents Capital Music, a mobile application enabling real-time sharing of song choices with collocated urban dwellers. Due to the real-time, location-based peer-to-peer approach of the application, a user experience study was performed utilising the Wizard of Oz method. The study provides insight into how sharing non-privacy sensitive but personal data in an anonymous way can influence the user experience of people in public urban places. We discuss the findings in relation to how Capital Music influences the process of “cocooning” in public urban places, the practice of designing anonymous interactions between collocated strangers, and how the sharing of song choices can create a sense of commonality between anonymous users in the urban space. The outcomes of this study are relevant for future location-based social networking applications that aim to create interactions between collocated strangers.

Do sex and atopy influence cough outcome measurements in children?

Background Despite the commonality of cough and its burden, there are no published data on the relationship between atopy or sex on objectively measured cough frequency or subjective cough scores in children. In 202 children with and without cough, we determined the effect of sex and atopy on validated cough outcome measurements (cough receptor sensitivity [CRS], objective cough counts, and cough scores). We hypothesized that in contrast to adult data, sex does not influence cough outcome measures, and atopy is not a determinant of these cough measurements. Methods We combined data from four previous studies. Atopy (skin prick test), the concentration of capsaicin causing two and five or more coughs (C2 and C5, respectively), objectively measured cough frequency, and cough scores were determined and their relationship explored. The children’s (93 girls, 109 boys) mean age was 10.6 years (SD 2.9), and 56% had atopy. Results In multivariate analysis, CRS was influenced by age (C2 coefficient, 5.9; P = .034; C5 coefficient, 29.1; P = .0001). Atopy and sex did not significantly influence any of the cough outcomes (cough counts, C2, C5, cough score) in control subjects and children with cough. Conclusions Atopy does not influence important cough outcome measures in children with and without chronic cough. However, age, but not sex, influences CRS in children. Unlike adult data, sex does not affect objective counts or cough score in children with and without chronic cough. Studies on cough in children should be age matched, but matching for atopic status and sex is less important.

Investor sentiment as conditioning information in asset pricing

This paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.

Convergence in the ownership and governance of East Asian firms

In the past decade, policymakers in over 70 markets have introduced corporate governance codes or best practice guidelines. In East Asia, they have been introduced in Hong Kong in 1999 and 2006, Indonesia in 2000 and 2007, Malaysia in 2000 and 2007, the Philippines in 2002, Singapore iu 2001 and 2005, South Korea in 2003, Taiwan iu 2002 and Thailand iu 2006. The common focus of these codes is to encourage but not force companies to improve their corporate governance practices to a specified target level, e.g., board independence of 30%. Another commonality is that the guidelines apply to all listed companies regardless of their ownership structure or other characteristics.