Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

Sentencing and public confidence : results from a national Australian survey on public opinions towards sentencing

This paper examines the critical issue of public confidence in sentencing, and presents findings from Phase I of an Australia-wide sentencing and public confidence project. Phase I comprised a nationally representative telephone survey of 6005 participants. The majority of respondents expressed high levels of punitiveness and were dissatisfied with sentences imposed by the courts. Despite this, many were strongly supportive of the use of alternatives to imprisonment for a range of offences. These nuanced views raise questions regarding the efficacy of gauging public opinion using opinion poll style questions; indeed the expected outcome from this first phase of the four phase sentencing and public confidence project. The following phases of this project, reported on elsewhere, examined the effects of various interventions on the robustness and nature of these views initially expressed in a standard ‘top of the head’ opinion poll.

An empirical study of business method patent applications filed in Australia 2000-2009

This article sets out the results of an empirical research study into the uses to which the Australian patent system is being put in the early 21st century. The focus of the study is business method patents, which are of interest because they are a controversial class of patent that are thought to differ significantly from the mechanical, chemical and industrial inventions that have traditionally been the mainstay of the patent system. The purpose of the study is to understand what sort of business method patent applications have been lodged in Australia in the first decade of this century and how the patent office is responding to those applications.

Accounting : building business skills [4th Ed.]

"The text is unique in the way it balances a "user" and "preparer" perspective and integrates real financial information to illustrate business decision choices and how decisions are made using accounting information. The pedagogical approach presented in the text has been tried and tested over many years, and provides a constructive framework for students to learn fundamental accounting concepts and processes. Through the use of real company information and financial statements students will quickly appreciate the use of accounting information. The textbook clearly outlines to students how to account for typical business transactions and prepare financial statements - such as a balance sheet, income statement, and statement of cash flows - that communicate the financing, operating, and investing activities of a business. Whether a student is required to study one accounting subject, as part of a wider business degree, or undertake a major study of accounting the text builds a strong conceptual understanding of accounting and will develop skills that can be applied to an accounting and business environment. The integral role of financial statements for decision making is also emphasised in this text and is reinforced throughout by the Decision Toolkit in each chapter. Students are provided with an extensive set of tools necessary to make business decisions based on financial information." -- publisher website

Micro-business community responsibility in Australia : approaches, motivations and barriers

Micro and small businesses contribute the majority of business activity in most developed economies. They are typically embedded in local communities and therefore well placed to influence community wellbeing. While there has been considerable theoretical and empirical analysis of corporate citizenship and corporate social responsibility (CSR), the nature of micro-business community responsibility (mBCR) remains relatively under-explored. This article presents findings from an exploratory study of mBCR that examined the approaches, motivations and barriers of this phenomenon. Analysis of data from 36 semi structured interviews with micro-business owner-operators in the Australian city of Brisbane revealed three mBCR approaches, suggesting an observable mBCR typology. Each mBCR type was at least partly driven by enlightened self interest (ESI). In addition to a pure ESI approach, findings revealed ESI combined with philanthropic approaches and ESI combined with social entrepreneurial approaches. The combination of doing business and doing good found amongst participants in this study suggests that many micro-business owner-operators are supporters of their local communities, and therefore driven by more than profit. This study provides a fine-grained understanding of micro-business involvement in community wellbeing through a lens of responsible business behaviour.

Engagement, persistence, progress and success as theoretically distinct aspects of business creation processes

Starting from the vantage point that explaining success at creating a venture should be the unique contribution—or at least one unique contribution—of entrepreneurship research, we argue that this success construct has not yet been adequately defined an operationalized. We thus offer suggestions for more precise conceptualization and measurement of this central construct. Rather than regarding various success proxies used in prior research as poor operationalizations of success we argue that they represent other important aspects of the venture creation process: engagement, persistence and progress. We hold that in order to attain a better understanding of venture creation these constructs also need to be theoretically defined. Further, their respective drivers need to be theorized and tested separately. We suggest theoretical definitions of each. We then develop and test hypotheses concerning how human capital, venture idea novelty and business planning has different impact on the different assessments of the process represented by engagement, persistence, progress and success. The results largely confirm the stated hypotheses, suggesting that the conceptual and empirical approach we are suggesting is a path towards improved understanding of the central entrepreneurship phenomenon of new venture creation.

Business planning, idea change, flexibility and performance: the best of both worlds?

The relationships between business planning and performance have divided the entrepreneurship research community for decades (Brinckmann et al, 2010). One side of this debate is the assumption that business plans may lock the firm in a specific direction early on, impede the firm to adapt to the changing market conditions (Dencker et al., 2009) and eventually, cause escalation of commitments by introducing rigidity (Vesper, 1993). Conversely, feedback received from the production and presentation of business plans may also lead the firm to take corrective actions. However, the mechanisms underlying the relationships between changes in business ideas, business plans and the performance of nascent firms are still largely unknown. While too many business idea changes may confuse stakeholders, exhaust the firm’s resources and hinder the undergoing legitimization process, some flexibility during the early stages of the venture may be beneficial to cope with the uncertainties surrounding new venture creation (Knight, 1921; March, 1982; Stinchcombe, 1965; Weick, 1979). Previous research has emphasized adaptability and flexibility as key success factors through effectual logic and interaction with the market (Sarasvathy, 2001; 2007) or improvisation and trial-and-error (Miner et al, 2001). However, those studies did not specifically investigate the role of business planning. Our objective is to reconcile those seemingly opposing views (flexibility versus rigidity) by undertaking a more fine-grained analysis at the relationships between business planning and changes in business ideas on a large longitudinal sample of nascent firms.

Using a design led approach to emotional business modelling

Prototyping is an established and accepted practice used by the design community. Prototypes play a valuable role during the design process and can greatly affect the designed outcome. The concept of a business model prototype, however, is not well understood by the design and business communities. Design industry trends indicate a move away from product and service innovation towards business model innovation. Therefore, it stands to reason that the role of prototypes and prototyping in this context should also be considered. This paper is conceptual and presents a process for creating and enabling business model prototypes. Specifically, the focus is on building emotional connections across the value chain to enable internal growth within firms. To do this, the authors‟ have relied on personal observations and critical reflection from multiple industry engagements. The outcomes of this critical reflective practice are presented and the opportunities and challenges for this approach are discussed. Future research opportunities are also detailed and presented within the context of the emotional business model.

What is the role of design-led innovation and design-led prototyping in developing novel business models?

Recently, ‘business model’ and ‘business model innovation’ have gained substantial attention in management literature and practice. However, many firms lack the capability to develop a novel business model to capture the value from new technologies. Existing literature on business model innovation highlights the central role of ‘customer value’. Further, it suggests that firms need to experiment with different business models and engage in ‘trail-and-error’ learning when participating in business model innovation. Trial-and error processes and prototyping with tangible artifacts are a fundamental characteristic of design. This conceptual paper explores the role of design-led innovation in facilitating firms to conceive and prototype novel and meaningful business models. It provides a brief review of the conceptual discussion on business model innovation and highlights the opportunities for linking it with the research stream of design-led innovation. We propose design-led business model innovation as a future research area and highlight the role of design-led prototyping and new types of artifacts and prototypes play within it. We present six propositions in order to outline future research avenues.

The language of optimism : how entrepreneurs sell the sizzle in business plan offer documents

Existing macro level research on the new venture creation process recognises the entrepreneur as a central agent in the process yet generally avoids, at each stage of the process, an examination of the micro level psychological behaviour of the individual entrepreneur. By integrating two theoretical approaches to entrepreneurship research, the psychology of the entrepreneur and the entrepreneurship process, this paper examines, using content analysis, the language used by new venture founders in documents directly linked to their capital raising activity. The study examined the language of 108 offer documents (information memorandum’s) which were divided between 54 new ventures that were successful in raising capital and 54 new ventures that either did not proceed further or were not successful in raising capital through the Australian Small Scale Offerings Board. Specifically, we were interested in examining the level of optimism evident in these narratives given that entrepreneurs have been previously described in the literature as being excessively optimistic.

On the efficacy of techniques for evaluating multivariate volatility forecasts

The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that a statistical-based method based on likelihood theory and an economic loss function based on portfolio variance are the most effective means of identifying optimal forecasts of conditional covariance matrices.

A business model for an inclusive entrepreneurial development

In 2004 Prahalad made managers aware of the great economic opportunity that the population at the BoP (Base of the Pyramid) represents for business in the form of new potential consumers. However, MNCs (Multi-National Corporations) generally continue to penetrate low income markets with the same strategies used at the top of the pyramid or choose not to invest at all in these regions because intimidated by having to re-envision their business models. The introduction of not re-arranged business models and products into developing countries has done nothing more over the years than induce new needs and develop new dependencies. By conducting a critical review of the literature this paper investigates and compares innovative approaches to operate in developing markets, which depart from the usual Corporate Social Responsibility marketing rhetoric, and rather consider the potential consumer at the BoP as a ring of continuity in the value chain − a resource that can itself produce value. Based on the concept of social embeddedness (London & Hart, 2004) and the principle that an open system contemplates different provisions (i.e. MNCs bring processes and technology, NGOs cultural mediating skills, governments laws and regulations, native people know-how and traditions), this paper concludes with a new business model reference that empowers all actors to contribute to value creation, while allowing MNCs to support local growth by turning what Prahalad called ‘inclusive capitalism’ into a more sustainable ‘inclusive entrepreneurial development’.

A snapshot of capstone courses in Australian business schools

Capstone courses are compulsory units usually offered in the last year, and often in the last semester, of a degree program. Ideally, they incorporate, consolidate and apply previously acquired knowledge, skills and experiential learning, rather than providing new information and skills. This presentation reports on findings of an Australian Teaching and Learning Council (ALTC) Projecti that explores the teaching of capstone courses in university Business Schools. In particular, it analyses comprehensive data collected via a national audit of all business capstone courses conducted in 2010-2011, based on information on university websites. Using this data, we reconsider the capstone ‘model’, classifying capstones in a way that goes beyond simple typologies in the literature, and reviewing approaches to teaching them. Although there is a common understanding amongst lecturers about the aims of capstone courses and the need to make students ‘workplace ready’, this presentation will provide more detailed analysis demonstrating the diversity of actual practices with respect to assessment, format and new content. These are important concerns related to student success in the workplace.

Is simulation training effective in increasing podiatrists' confidence in foot ulcer management?

Background: Foot ulcers are a frequent reason for diabetes-related hospitalisation. Clinical training is known to have a beneficial impact on foot ulcer outcomes. Clinical training using simulation techniques has rarely been used in the management of diabetes-related foot complications or chronic wounds. Simulation can be defined as a device or environment that attempts to replicate the real world. The few non-web-based foot-related simulation courses have focused solely on training for a single skill or “part task” (for example, practicing ingrown toenail procedures on models). This pilot study aimed to primarily investigate the effect of a training program using multiple methods of simulation on participants’ clinical confidence in the management of foot ulcers. Methods: Sixteen podiatrists participated in a two-day Foot Ulcer Simulation Training (FUST) course. The course included pre-requisite web-based learning modules, practicing individual foot ulcer management part tasks (for example, debriding a model foot ulcer), and participating in replicated clinical consultation scenarios (for example, treating a standardised patient (actor) with a model foot ulcer). The primary outcome measure of the course was participants’ pre- and post completion of confidence surveys, using a five-point Likert scale (1 = Unacceptable-5 = Proficient). Participants’ knowledge, satisfaction and their perception of the relevance and fidelity (realism) of a range of course elements were also investigated. Parametric statistics were used to analyse the data. Pearson’s r was used for correlation, ANOVA for testing the differences between groups, and a paired-sample t-test to determine the significance between pre- and post-workshop scores. A minimum significance level of p < 0.05 was used. Results: An overall 42% improvement in clinical confidence was observed following completion of FUST (mean scores 3.10 compared to 4.40, p < 0.05). The lack of an overall significant change in knowledge scores reflected the participant populations’ high baseline knowledge and pre-requisite completion of web-based modules. Satisfaction, relevance and fidelity of all course elements were rated highly. Conclusions: This pilot study suggests simulation training programs can improve participants’ clinical confidence in the management of foot ulcers. The approach has the potential to enhance clinical training in diabetes-related foot complications and chronic wounds in general.

In the bank or on the ground : an examination of financial reserves in Australian international aid organisations

This study contributes to the understanding of the contribution of financial reserves to sustaining nonprofit organisations. Recognising the limited recent Australian research in the area of nonprofit financial vulnerability, it specifically examines financial reserves held by signatories to the Code of Conduct of the Australian Council for International Development (ACFID) for the years 2006 to 2010. As this period includes the Global Financial Crisis, it presents a unique opportunity to observe the role of savings in a period of heightened financial threats to sustainability. The need for nonprofit entities to maintain reserves, while appearing intuitively evident, is neither unanimously accepted nor supported by established theoretic constructs. Some early frameworks attempt to explain the savings behaviour of nonprofit organisations and its role in organisational sustainability. Where researchers have considered the issue, its treatment has usually been either purely descriptive or alternatively, peripheral to a broader attempt to predict financial vulnerability. Given the importance of nonprofit entities to civil society, the sustainability of these organisations during times of economic contraction, such as the recent Global Financial Crisis, is a significant issue. Widespread failure of nonprofits, or even the perception of failure, will directly affect, not only those individuals who access their public goods and services, but would also have impacts on public confidence in both government and the sectors’ ability to manage and achieve their purpose. This study attempts to ‘shine a light’ on the paradox inherent in considering nonprofit savings. On the one hand, a public prevailing view is that nonprofit organisations should not hoard and indeed, should spend all of their funds on the direct achievement of their purposes. Against this, is the commonsense need for a financial buffer if only to allow for the day to day contingencies of pay rises and cost increases. At the entity level, the extent of reserves accumulated (or not) is an important consideration for Management Boards. The general public are also interested in knowing the level of funds held by nonprofits as a measure of both their commitment to purpose and as an indicator of their effectiveness. There is a need to communicate the level and prevalence of reserve holdings, balancing the prudent hedging of uncertainty against a sense of resource hoarding in the mind of donors. Finally, funders (especially governments) are interested in knowing the appropriate level of reserves to facilitate the ongoing sustainability of the sector. This is particularly so where organisations are involved in the provision of essential public goods and services. At a scholarly level, the study seeks to provide a rationale for this behaviour within the context of appropriate theory. At a practical level, the study seeks to give an indication of the drivers for savings, the actual levels of reserves held within the sector studied, as well as an indication as to whether the presence of reserves did mitigate the effects of financial turmoil during the Global Financial Crisis. The argument is not whether there is a need to ensure sustainability of nonprofits, but rather how it is to be done and whether the holding of reserves (net assets) is an essential element is achieving this. While the study offers no simple answers, it does appear that the organisations studied present as two groups, the ‘savers’ who build reserves and keep ‘money in the bank’ and ‘spender-delivers’ who put their resources ‘on the ground’. To progress an understanding of this dichotomy, the study suggests a need to move from its current approach to one which needs to more closely explore accounts based empirical donor attitude and nonprofit Management Board strategy.