Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

Impacts of introduced aquaculture species on markets for native marine aquaculture products : the case of edible oysters in Australia

Economic competition between introduced and native aquaculture species is of interest for industry stakeholders since increased production can affect price formation if both aquaculture species are part of the same market or even substitutes. In this study, we focus on the Australian edible oyster industry, which is dominated by two major species—the native Sydney rock oyster (grown mainly in Queensland and New South Wales) and the non-native Pacific oyster (grown mainly in South Australia and Tasmania). We examine the integration of the Australian oyster market to determine if there exists a single or several markets. Short- and long-run own, cross-price and income flexibilities of demand are estimated for both species using an inverse demand system of equations. The results suggest that the markets for the two species are integrated. We found evidence that the development of the Pacific oyster industry has had an adverse impact on Sydney rock oyster prices. However, our results show that both species are not perfect substitutes. Demand for Sydney rock oysters is relatively inelastic in the long run, yet no long-run relationships can be identified for Pacific oysters, reflecting the developing nature of this sector.

Do Big-Four affilitates earn audit fee premiums in emerging markets?

The paper investigates whether Big-Four affiliated (B4A) firms earn audit premiums in an emerging economy context, using Bangladesh as a case. The joint determination of audit and non-audit service fees is also examined using a sample of 122 companies listed in the Dhaka Stock Exchange. Our findings reveal that although the B4A firms do not generally earn a fee premiumin Bangladesh, they charge higher audit fees for clients not purchasing non-audit services. This suggests that the B4A firms may actually lower audit fees to attract non-audit services, and cross subsidizes audit fees through non-audit-services fees. The lack of a B4A premium implies that there is lack of quality audit in emerging markets. We also document that audit and non-audit service fees are jointly determined in Bangladesh. Thus, we provide evidence of joint determination of audit and non-audit service fees in an emerging economy context.

Cryptic marketing : strategic targeting of subculture markets

This research aims to understand what factors influence consumers' behaviour to subculture marketing and how companies can strategically overcome potential brand alienation. Findings validate cryptic marketing as a strategy for organizations to communicate effectively with their chosen market through the use of cryptic cues, symbols and messages while circumventing negative responses from non-target audiences. The thesis contributes to extending current understanding of marketing communication through the use of covert strategies, employing covert tactics on the non-target, wider market instead of the target, subculture market.

Assessing the impact of crime on residential property markets

The aim of this research is to determine if a range of crimes in a suburb have an impact on the residential property sectors in that particular suburb. With the increasing media coverage of crime in specific locations, this knowledge of crime in Brisbane Australia is more available to potential residential property buyers This research is based on the analysis of the crime statistics for 30 suburbs in Brisbane across a range of major crime activities and compares the level of crime to property median prices, sales volume and in a range of suburbs the volume of sale and lease listings. The results of the research show a significant variation in the response of buyers in residential property markets based on the type of crime and the socio-economic status of the suburb. In a range of suburbs, value factors other than crime are the major drivers of the market. The study provides an insight into consumer behaviour in a major city and the response of residential property buyers to an increasing level and awareness of crime statistics in the suburbs they are considering to buy. Implications of this research are that with a greater level of awareness of factors that could be a disadvantage to some potential buyers are not always reflected across a full residential property market. Valuers, property financiers and the public need to be aware of the type of crime and locations that have a direct impact on property prices and saleability These results expand on the current knowledge of value drivers in major residential property markets.

The private problem with public service: Rural teachers in educational markets

Staffing rural and remote schools is an important policy issue for the public good. This paper examines the private issues it also poses for teachers with families working in these communities, as they seek to reconcile careers with educational choices for children. The paper first considers historical responses to staffing rural and remote schools in Australia, and the emergence of neoliberal policy encouraging marketisation of the education sector. We report on interviews about considerations motivating household mobility with 11 teachers across regional, rural and remote communities in Queensland. Like other middle-class parents, these teachers prioritised their children’s educational opportunities over career opportunities. The analysis demonstrates how teachers in rural and remote communities constitute a special group of educational consumers with insider knowledge and unique dilemmas around school choice. Their heightened anxieties around school choice under neoliberal policy are shown to contribute to the public issue of staffing rural and remote schools.

Responding to black markets: Role of IT and network structures

This paper presents the unique black markets of asset pooling and leasing services, which exposes the nature and extent of industry-specific threats. We explore how firms providing such services together with their network structures that constitute the foundations of asset pooling and leasing respond to the threat of black markets. We encapsulate detecting and encountering the threat of black markets through the theoretical lens of agility, which encompasses the elements of sensing and responding (Overby et al. 2006; Roberts and Grover 2012). This novel concept of responding to threats using the agility lens has not been adequately addressed by past studies on enterprise agility. Through a case study of a global asset pooling and leasing company, we reveal the criticality of network structures, the impracticality of IT and inadequate tracking mechanisms that challenge firms in minimizing such threats.

Postscript: Policy, Markets and the Local

A critical review and discussion of research studies of the impacts of market-based reforms on Chinese education, with a specific emphasis on local uptakes and effects of policy.

The sweet aroma of success: Modification of products for new markets in the case of TORQ by Di Bella Coffee

In 2002, Phillip Di Bella’s childhood passion for coffee and keen entrepreneurial spirit led him to establish a small coffee roasting warehouse in in the inner suburbs of Brisbane (Di Bella, 2012). With a keen sense of direction and passion for his coffee products and providing unparalleled customer service, Di Bella Coffee quickly grew to become a key player in the coffee roasting scene. This passion for the ultimate coffee experience is evident in the firm’s logo ‘Di Bella Coffee Inspires Passion’. Phillip Di Bella stated that ‘the common denominator of this company is about inspiration and passion. We are not a coffee company, we are a people company. You know, are we inspiring you from the moment you walk in the door to the moment you leave. If you are not feeling inspired then we haven’t done our job properly as a company’. Fundamentally, providing the ultimate coffee experience, as detailed in the following case is one in which focuses on the coffee consumption experience, not the coffee itself. Over that last 10 years Di Bella Coffee has constantly strived for the ultimate coffee, while expanding business operations into the booming Asian coffee market, establishing headquarters in Shanghai in 2010. In 2011, Di Bella Coffee commenced their second international venture with the launch of operations in India (Di Bella Coffee, 2012); followed shortly by the creation of a new category of coffee, set to revolutionise to coffee industry. The fusion of two traditional forms of coffee; espresso coffee and instant coffee, to create a third category- espresso instant, led to the development of TORQ by Di Bella.

Do Students Not Care about Extra Credit Opportunities? Investigating Student Perceptions of Extra Credit Value vs. Effort

Giving “extra credit” work to students has been a controversial and hotly debated pedagogical issue for the last 20 years (Blood et al. 1993; Groves 2000; Muztaba Fuad and Jones 2012; Norcross et al. 1989; Weimer 2011). Previous work has focused on the faculty perspective discussing benefits and drawbacks associated with extra credit work (e.g. Hill et al. 1993; Norcross et al. 1989). Other scholars have investigated the use and effects of pop quizzes and other extra credit assignments on students’ final grades (Thorne 2000; Oley 1993). Some authors have criticized that the empirical exploration of understanding students’ motivational and performance efforts remains scarce and “rarely appears in the literature” (Mays and Bower 2005, p. 1). Besides a gap of empirical work it further appears that most existing studies stem from Psychology or Information Science. Yet it is surprising that, even though the topic of extra credit is considered a common practice in marketing education (Ackerman and Kiesler 2007), there is a wide gap within the marketing education literature. For example, a quick search in the Journal of Marketing Education for the keyword “extra credit” shows only 25 search results; yet none of those papers address motivational or performance effects of extra credit. A further search in Marketing Education Review yielded no results at all. To the authors’ knowledge, the topic has only been addressed once by Ackerman and Kiesler in the 2007 MEA Proceedings who conclude that for “such a common part of the marketing education curriculum, we know surprisingly little about its impact on students” (p. 123).

Forecasting outcomes in tennis matches using within-match betting markets

Klaassen and Magnus (2003) provide a model of the probability of a given player winning a tennis match, with the prediction updated on a point-by-point basis. This paper provides a point-by-point comparison of that model with the probability of a given player winning the match, as implied by betting odds. The predictions implied by the betting odds match the model predictions closely, with an extremely high correlation being found between the model and the betting market. The results for both men’s and women’s matches also suggest that there is a high level of efficiency in the betting market, demonstrating that betting markets are a good predictor of the outcomes of tennis matches. The significance of service breaks and service being held is anticipated up to four points prior to the end of the game. However, the tendency of players to lose more points than would be expected after conceding a break of service is not captured instantaneously in betting odds. In contrast, there is no evidence of a biased reaction to a player winning a game on service.

Volatility transmission in global financial markets

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

Volatility transmission in global financial markets

This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jumpactivity is only importantwithin the equitymarkets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.

An experimental analysis of information acquisition in prediction markets

We study which factors in terms of trading environment and trader characteristics determine individual information acquisition in experimental asset markets. Traders with larger endowments, existing inconclusive information, lower risk aversion, and less experience in financial markets tend to acquire more information. Overall, we find that traders overacquire information, so that informed traders on average obtain negative profits net of information costs. Information acquisition and the associated losses do not diminish over time. This overacquisition phenomenon is inconsistent with predictions of rational expectations equilibrium, and we argue it resembles the overdissipation results from the contest literature. We find that more acquired information in the market leads to smaller differences between fundamental asset values and prices. Thus, the overacquisition phenomenon is a novel explanation for the high forecasting accuracy of prediction markets.