International stock market linkages : are overnight returns on the U.S. Market informative?

Based on the theory of international stock market co-movements, this study shows that a profitable trading strategy can be developed. The U.S. market return is considered as overnight information by ordinary investors in the Asian and the European stock markets, and opening prices in local markets reflect the U.S. overnight return. However, smart traders would either judge the impact of overnight information more correctly, or predict unreleased information. Thus, the difference between expected opening prices based on the U.S. return and actual opening prices is counted as smart traders’ prediction power, which is either a buy or a sell signal. Using index futures price data from 12 countries from 2000 to 2011, cumulative returns on the trading strategy are calculated with taking into account transaction costs. The empirical results show that the proposed trading strategy generates higher riskadjusted returns than that of the benchmarks in 12 sample countries. The trading performances for the Asian markets surpass those for the European markets because the U.S. return is the only overnight information for the Asian markets whereas the Asian markets returns are additional information to the European investors.

Asset allocation policy, returns and expenses of superannuation funds : recent evidence based on default options

We examine the asset allocation, returns, and expenses of superannuation funds whose assets are mainly invested in default investment options between 2004 and 2012. A majority of these funds fail to earn returns commensurate with their strategic asset allocation policy. It appears that much of the variation of returns between the funds might be a result of their engaging in significant active management of assets. Our results indicate that returns from active management are negatively related to expenses. We also find strong evidence of economies of scale existing in these superannuation funds across different size categories.

Sequencing risk : the worst returns in their worst order

For the first of the baby boomers turning 65 years of age, after a decade littered with financial shocks (dot.com bubble, sub-prime, global financial crisis, sovereign debt), sequencing risk can represent a significant threat to their retirement nest eggs. This paper takes an outcomeoriented approach to the problem, to provide practical insights into how sequencing risk works and the critical dependency of retirement outcomes on sequencing risk. Our analysis challenges the conventional wisdom that it is the accumulated average of investment returns that matter. We show, instead, that it is the realised sequence of returns which largely determines the sustainability of retirement incomes.

Outsourcing income tax returns : convenient and/or controversial

This paper investigates the outsourcing of income tax return preparation by Australian accounting firms. It identifies the extent to which firms are currently outsourcing accounting services or considering outsourcing accounting services, with a focus on personal and business income tax return preparation. The motivations and barriers for outsourcing by Australian accounting firms are also considered in this paper. Privacy, security of client data, and the competence of the outsourcing provider's staff have been identified as risks associated with outsourcing. An expectation relating to confidentiality of client data is also examined in this paper. Statistical analysis of data collected from a random sample of Australian accounting firms using a survey questionnaire provided the empirical data for the paper. The results indicate that the majority of Australian accounting firms are either currently outsourcing or considering outsourcing accounting services, and firms are outsourcing taxation preparation both onshore and offshore. The results also indicate that firms expect the volume of outsourced work to increase in the future. In contrast to the literature identifying labour arbitrage as the primary driver for organisations choosing to outsource, this study found that the main factors considered by accounting firms in the decision to outsource were to expedite delivery of services to clients and to enable the firm to focus on core competencies. Data from this study also supports the literature which ndicates that not all tax practitioners are adhering to codes of conduct in relation to client confidentiality. Research identifying the extent to which accounting services are outsourced is limited, therefore significant contributions to the academic literature and the accounting profession are provided by this ndicates that not all tax practitioners are adhering to codes of conduct in relation to client confidentiality. Research identifying the extent to which accounting services are outsourced is limited, therefore significant contributions to the academic literature and the accounting profession are provided by this study.

Re-examining the financial returns from New Zealand's SOE sector : re-examining privatisation

This paper considers the potential for profit within state-owned enterprises [SOEs] as part of the privatisation debate, through an examination of New Zealand’s SOE sector from 2006 to 2010, extending and comparing findings of an earlier study from 2001 to 2005.

Predicting stock market returns and volatility with investor sentiment : evidence from eight developed countries

We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market return in the next month. Further, shifts in sentiment significantly move conditional volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month.

Bank audit fees and asset securitization risks

Using the lens of audit pricing, we provide insights into auditors’ behaviors in relation to the risk of asset securitizations to bank holding companies in a period encompassing the Global Financial Crisis (GFC) and the introduction of the accounting standards FAS 166 and FAS 167. Using US bank holding company data from 2003 to 2011, we find significant and positive associations between asset securitization risks and audit fees. We find that auditors appear to focus on different aspects of asset securitization risks after the onset of the GFC, and increase their attention to the systemic risks facing bank holding companies in general. After the implementation of FAS 166 and FAS 167, which removed the discretion to treat asset securitizations as sales and required the consolidation of the accounts of special purpose entities, asset securitization risks no longer have a significant effect on audit fees.

Environmental performance and returns to pollution abatement in China

Because of China's extremely rapid economic growth, the scale and seriousness of environmental problems is no longer in doubt. Whether pollution abatement technologies are utilized more efficiently is crucial in the analysis of environmental management in China. This study analyzes how the performance of environmental management has changed over time using province level data for 1992-2003. Mixed results for environmental performance are shown using nonparametric estimation technique. We find that environmental performance index, abatement effort, and increasing returns to pollution abatement play important roles in determining the pollution level over the period of the study.

Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

Australian DOCAs versus UK pre-packs and CVAs : sifting through the ashes of comparative dividend returns

This article is something of a brief extension of recent research into deeds of company arrangement (DOCAs) under Pt 5.3A of the Corporations Act 2001 (Cth), conducted with the support of the Australian Restructuring Insolvency & Turnaround Association’s (ARITA’s) Terry Taylor Scholarship (TTS). This article presents some of the findings of that research (namely, the dividend outcomes delivered by sampled Australian DOCAs) in a manner consistent with reports which have recently emerged from similar research conducted in the UK. In so doing, a basic comparison can be made of the performance of Australian DOCAs against analogous UK procedures.

Perspectives on Australian bankruptcy law through the prism of the World Bank report on the treatment of the insolvency of natural persons

The insolvency of natural persons raises questions not only for a nation’s economy but also for its concern for equity. The World Bank has recently released a Report on the Treatment of the Insolvency of Natural Persons to guide nations in addressing the issues raised by an individual debtor’s insolvency. A brief review of Australia’s personal insolvency laws shows that it addresses many of the issues raised by the Report. However two areas are identified as worthy of further investigation by policy-makers and scholars to better address a concern for equity.

Trial by media: An empirical investigation of corporate reputation and stock returns in Australia

This article examines whether investors are able to generate abnormal risk-adjusted returns in the Australian market based on media-specific firm reputational factors under market uncertainty between 2004 and 2012. The findings suggest that after controlling for crisis-centric time periods and market risk factors, contrarian trading strategies produce abnormal returns for poor corporate reputation firms but not for their good corporate reputation counterparts. Corporate reputation may be a driver of performance for poorly performing Australian firms and could be considered a stimulus for trading activity due to its explanatory capabilities.

Indian bank efficiency and productivity changes with undesirable outputs: A disaggregated approach

The objective of this study is to examine technical efficiency and productivity growth in the Indian banking sector over the period from 2004 to 2011. We apply an innovative methodological approach introduced by Chen et al. (2011) and Barros et al. (2012), who use a weighted Russell directional distance model to measure technical inefficiency. We further modify and extend that model to measure TFP change with NPLs. We find that the inefficiency levels are significantly different among the three ownership structure of banks in India. Foreign banks have strong market position in India and they pull the production frontier in a more efficient direction. SPBs and domestic private banks show considerably higher inefficiency. We conclude that the restructuring policy applied in the late 1990s and early 2000s by the Indian government has not had a long-lasting effect.

Bank guarantees and the reasonable expectations of beneficiaries

A bank guarantee has traditionally been viewed as a cash equivalent. This view is supported by the operation of the autonomy principle. However, the autonomy principle is subject to certain recognised exceptions both at common law and under statute. One of these exceptions is commonly referred to as the negative stipulation or underlying contract exception. In recent times the operation of this particular exception has given rise to a wealth of case law. This article examines whether this recent case law appropriately recognises the reasonable expectations of the beneficiary of a bank guarantee that a bank guarantee should function not only as a security but as a risk allocation device.