The responsiveness of LPT returns and their attributes

The Australian listed property sector has experienced substantial growth over the past decade. Relative to international property markets, Australia has the highest percentage of listed real estate and the highest proportion that makes up the total equity market in the world, hence, making it an important component of domestic financial markets. This study employs the Stone (1974) two factor asset pricing model to investigate the sensitivity of Listed Property Trust (LPT) returns to market and interest rate returns from 2000 to 2005, and the characteristics (namely, management structure, specialisation and the degree of financial leverage) that may be driving these sensitivities. Our results indicate an increase in the market risk profile of LPTs, suggesting an erosion of the defensive benefits of LPTs against stockmarket volatilities.

Hot issues, new economy stocks and Australian industry IPO returns in the late 1990s

This paper analyses Australian IPOs at an industry level for the period 1994 to 1999. We find a significant relationship between capital weighted IPO industry returns and contemporaneous index returns suggesting that capital raising and money left on the table arguments matter. We do not find any hot issue years at an industry level. Further at an industry level we find that new economy listings are not different to listings from other sectors of the economy.

"Information effect" of economic news: SPI futures

The present study investigates the behaviour of Share Price Index (SPI) futures returns, volatility, and trading volume behaviour around the announcement of Current Account Deficit (CAD), Gross Domestic Product (GDP), and Inflation (CPI). The futures market data are sampled at 1-, 5-, and 10-min intervals at the announcement time. After controlling for risk, a significant positive abnormal return can be earned based on the good news release. However, it is unlikely that traders could make an economic profit by exploiting this effect. In this sense, this futures market returns are found to react efficiently to good news. Volatility behaviour around announcements provides the same conclusion. As for the relationship between returns, volatility, and volume upon information arrival, returns are positively related to trading volume, which is inconsistent with the ‘short sales constraint’ theory. Trading volume is found to increase as the level of volatility rises. The redenomination of the SPI futures and options contract from A$100 to A$25 per basis point is found to increase trading volume in excess of that expected due to the redenomination. However, market return and volatility are unaffected by the redenomination.

Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.

Outcomes of a group-randomized trial to prevent excess weight gain, reduce screen behaviours and promote physical activity in 10-year-old children : switch-play

Objectives : To evaluate the effectiveness of an intervention to prevent excess weight gain, reduce time spent in screen behaviours, promote participation in and enjoyment of physical activity (PA), and improve fundamental movement skills among children.

Participants : In 2002, 311 children (78% response; 49% boys), average age 10 years 8 months, were recruited from three government schools in low socioeconomic areas of Melbourne, Australia.

Design : Group-randomized controlled trial. Children were randomized by class to one of the four conditions: a behavioural modification group (BM; n=66); a fundamental movement skills group (FMS; n=74); a combined BM/FMS group (BM/FMS; n=93); and a control (usual curriculum) group (n=62). Data were collected at baseline, post intervention, 6- and 12-month follow-up periods.

Results : BMI data were available for 295 children at baseline and 268 at 12-month follow-up. After adjusting for food intake and PA, there was a significant intervention effect from baseline to post intervention on age- and sex-adjusted BMI in the BM/FMS group compared with controls (-1.88 kg m-2, P<0.01), which was maintained at 6- and 12-month follow-up periods (-1.53 kg m-2, P<0.05). Children in the BM/FMS group were less likely than controls to be overweight/obese between baseline and post intervention (adjusted odds ratio (AOR)=0.36, P<0.05); also maintained at 12-month follow-up (AOR=0.38, P<0.05). Compared with controls, FMS group children recorded higher levels and greater enjoyment of PA; and BM children recorded higher levels of PA and TV viewing across all four time points. Gender moderated the intervention effects for participation in and enjoyment of PA, and fundamental movement skills.

Conclusion : This programme represents a promising approach to preventing excess weight gain and promoting participation in and enjoyment of PA. Examination of the mediators of this intervention and further tailoring of the programme to suit both genders is required.

Downside beta and the cross-sectional determinants of listed property trust returns

This study examines the importance of downside beta when seeking to explain variations in listed property trust (LPT) returns in Australia between 1993 and 2005. The results reveal that downside beta outperforms conventional beta and provides higher explanatory power to the cross-sectional LPT return variations. The results also indicate that investors only require a premium for downside risk. However, the explanatory power of downside beta has diminished once the co-kurtosis of LPTs is controlled. Interestingly, the results also reveal that by itself downside beta is unable to fully explain returns in line with strong evidence for momentum and book-to-market ratio. The findings provide additional insights for investors and real estate analysts into the pricing of LPTs.