Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

A Critical Review of the Implied Cost of Equity: A New Way to Estimate the Expected Return

For the last three decades, the Capital Asset Pricing Model (CAPM) has been a dominant model to calculate expected return. In early 1990% Fama and French (1992) developed the Fama and French Three Factor model by adding two additional factors to the CAPM. However even with these present models, it has been found that estimates of the expected return are not accurate (Elton, 1999; Fama &French, 1997). Botosan (1997) introduced a new approach to estimate the expected return. This approach employs an equity valuation model to calculate the internal rate of return (IRR) which is often called, 'implied cost of equity capital" as a proxy of the expected return. This approach has been gaining in popularity among researchers. A critical review of the literature will help inform hospitality researchers regarding the issue and encourage them to implement the new approach into their own studies.

Destination brand equity for Australia : testing a model of CBBE in short haul and long haul markets

The study of destination brand performance measurement has only emerged in earnest as a field in the tourism literature since 2007. The concept of consumer-based brand equity (CBBE) is gaining favour from services marketing researchers as an alternative to the traditional ‘net-present-value of future earnings’ method of measuring brand equity. The perceptions-based CBBE model also appears suitable for examining destination brand performance, where a financial brand equity valuation on a destination marketing organisation’s (DMO) balance sheet is largely irrelevant. This is the first study to test and compare the model in both short and long haul markets. The paper reports the results of tests of a CBBE model for Australia in a traditional short haul market (New Zealand) and an emerging long haul market (Chile). The data from both samples indicated destination brand salience, brand image, and brand value are positively related to purchase intent for Australia in these two disparate markets.

Investigating attitudes towards three South American destinations in an emerging long haul market using a model of consumer-based brand equity (CBBE)

Despite the importance of destination image in market competitiveness, and the popularity of the field within tourism literature, there remains a dearth of published research examining travellers’ perceptions of destinations in South America. This manuscript addresses this gap by testing a model of consumer-based brand equity (CBBE) associated with three South American countries; Chile, Brazil and Argentina. The introduction of direct air links and a free trade agreement in 2008 has led destination marketing organisations (DMOs) in these countries to increase promotional efforts in the Australian market. This study shows that the CBBE model is an appropriate tool to explore consumers’ attitudes in the long haul travel context. The findings provide DMOs of the three countries studied, with benchmarks against which to compare the impact of future marketing communications in Australia. The results provide increased transparency and accountability to stakeholders, such as South American tourism businesses and Australian travel intermediaries.

A Macroscopic Model for First Return Stroke of Lightning

A lightning return stroke model for a downward flash is proposed. The model includes underlying physical phenomena governing return stroke evolution, namely, electric field due to charge distributed along the leader and cloud, transient enhancement of series channel conductance at the bridging regime, and the nonlinear variation of channel conductance, which supports the return stroke current evolution. Thermal effects of free burning arc at the stroke wave front and its impact on channel conductance are studied. A first-order arc model for determining the dynamic channel conductance along with a field-dependent conductivity for corona sheath is used in the model. The model predicts consistent current propagation along the channel with regard to current amplitude and return stroke velocity. The model is also capable of predicting the remote electromagnetic fields that are consistent with the experimental observations.

Return of Equity Issues in the Spanish Stock Market from the Investor’s Perspective, during the 1997-2012 Period

Is it profitable for an investor, from a risk-return perspective, to acquire a stake in a quoted company when a capital increase is announced? This paper analyses the return obtained from the investment in equity issues with cash contribution and pre-emptive rights, aimed at funding corporate activities: acquisitions, investments in new facilities and/or strengthening the balance sheet of the companies undertaking the equity issue. During the 16 years covered by the study, the results show a negative average excess risk-adjusted return of almost 5%, from the moment that the equity offer is announced until the completion of the preferential subscription period. To obtain this excess return, the difference between the nominal Internal Rate of Return (IRR) and the expected return, using the CAPM, is computed for each equity issue. The intention behind this method is to eliminate the effects of time and any other possible effect on the stock price during the period of the analysis.The results from this article are consistent with the Pecking Order theory for the Spanish Stock Market also six months after the preferential subscription period. However, there is a positive return after three months.

Creation of a validated 3D finite element model of an ovine tibia

Introduction Ovine models are widely used in orthopaedic research. To better understand the impact of orthopaedic procedures computer simulations are necessary. 3D finite element (FE) models of bones allow implant designs to be investigated mechanically, thereby reducing mechanical testing. Hypothesis We present the development and validation of an ovine tibia FE model for use in the analysis of tibia fracture fixation plates. Material & Methods Mechanical testing of the tibia consisted of an offset 3-pt bend test with three repetitions of loading to 350N and return to 50N. Tri-axial stacked strain gauges were applied to the anterior and posterior surfaces of the bone and two rigid bodies – consisting of eight infrared active markers, were attached to the ends of the tibia. Positional measurements were taken with a FARO arm 3D digitiser. The FE model was constructed with both geometry and material properties derived from CT images of the bone. The elasticity-density relationship used for material property determination was validated separately using mechanical testing. This model was then transformed to the same coordinate system as the in vitro mechanical test and loads applied. Results Comparison between the mechanical testing and the FE model showed good correlation in surface strains (difference: anterior 2.3%, posterior 3.2%). Discussion & Conclusion This method of model creation provides a simple method for generating subject specific FE models from CT scans. The use of the CT data set for both the geometry and the material properties ensures a more accurate representation of the specific bone. This is reflected in the similarity of the surface strain results.

Point of no return : exploring katabatic narrative and deterritorialisation in the Australian outback novel

This thesis consists of the novel Brolga and an exegesis examining in what ways the ideas of katabasis and deterritorialisation inform an understanding of descent narratives in contemporary Australian outback fiction. When writing the creative piece, it was observed that Joseph Campbell’s Hero’s Journey was an imprecise model for my manuscript and indeed for many of the contemporary novels I had read written in similar outback settings. On analysis a better fit lies in the idea of a heroic journey from which there is no clear return from the underworld. This narrative form is defined in this thesis as a katabatic narrative. To unpack this narrative trope, the inverse of territoriality, deterritorialisation, is used as a lens to examine the complex thematic and symbolic resonances of the outback in both Brolga and analogous works of contemporary outback fiction.

A systematic review of studies identifying predictors of poor return to work outcomes following workplace injury

BACKGROUND: Injuries occurring in the workplace can have serious implications for the health of the individual, the productivity of the employer and the overall economic community. OBJECTIVE: The objective of this paper is to increase the current state of understanding of individual demographic and psychosocial characteristics associated with extended absenteeism from the workforce due to a workplace injury. METHODS: Studies included in this systematic literature review tracked participants' return to work status over a minimum of three months, identified either demographic, psychosocial or general injury predictors of poor return to work outcomes and included a heterogeneous sample of workplace injuries. RESULTS: Identified predictors of poor return to work outcomes included older age, female gender, divorced marital status, two or more dependent family members, lower education levels, employment variables associated with reduced labour market desirability, severity or sensitive injury locations, negative attitudes and outcome perceptions of the participant. CONCLUSIONS: There is a need for clear and consistent definition and measurement of return to work outcomes and a holistic theoretical model integrating injury, psychosocial and demographic predictors of return to work. Through greater understanding of the nature of factors affecting return to work, improved outcomes could be achieved.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Estimating long-term growth-rate changes of southern bluefin tuna (Thunnus maccoyii) from two periods of tag-return data

Southern bluefin tuna (SBT) (Thunnus maccoyii) growth rates are estimated from tag-return data associated with two time periods, the 1960s and 1980s. The traditional von Bertalanffy growth model (VBG) and a two-phase VBG model were fitted to the data by maximum likelihood. The traditional VBG model did not provide an adequate representation of growth in SBT, and the two-phase VBG yielded a significantly better fit. The results indicated that significant change occurs in the pattern of growth in relation to a VBG curve during the juvenile stages of the SBT life cycle, which may be related to the transition from a tightly schooling fish that spends substantial time in near and surface shore waters to one that is found primarily in more offshore and deeper waters. The results suggest that more complex growth models should be considered for other tunas and for other species that show a marked change in habitat use with age. The likelihood surface for the two-phase VBG model was found to be bimodal and some implications of this are investigated. Significant and substantial differences were found in the growth for fish spawned in the 1960s and in the 1980s, such that after age four there is a difference of about one year in the expected age of a fish of similar length which persists over the size range for which meaningful recapture data are available. This difference may be a density-dependent response as a consequence of the marked reduction in the SBT population. Given the key role that estimates of growth have in most stock assessments, the results indicate that there is a need both for the regular monitoring of growth rates and for provisions for changes in growth over time (possibly related to changes in abundance) in the stock assessment models used for SBT and other species.

Retrieval of Electron Return Time from High-order Harmonics Generated in a Mixture of He and Ne Gases

In terms of single-atom induced dipole moment by Lewenstein model, we present the macroscopic high-order harmonic generation from mixed He and Ne gases with different mixture ratios by solving three-dimensional Maxwell's equation of harmonic field. And then we show the validity of mixture formulation by Wagner et al. [Phys. Rev. A 76 (2007) 061403(R)] in macroscopic response level. Finally, using least squares fitting we retrieve the electron return time of short trajectory by formulation in Kanai et al. [Phys. Rev. Lett. 98 (2007) 153904] when the gas jet is put after the laser focus.

Reforming the Westminster Model of Agency Governance: Britain and Ireland after the Crisis

Conventional understandings of what the Westminster model implies anticipate reliance on a top-down, hierarchical approach to budgetary accountability, reinforced by a post–New Public Management emphasis on recentralizing administrative capacity. This article, based on a comparative analysis of the experiences of Britain and Ireland, argues that the Westminster model of bureaucratic control and oversight itself has been evolving, hastened in large part due to the global financial crisis. Governments have gained stronger controls over the structures and practices of agencies, but agencies are also key players in securing better governance outcomes. The implication is that the crisis has not seen a return to the archetypal command-and-control model, nor a wholly new implementation of negotiated European-type practices, but rather a new accountability balance between elements of the Westminster system itself that have not previously been well understood.

Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios con tiempo continuo, con velocidades constantes alternantes y saltos cuando hay cambios en la velocidad. Si los saltos en la dirección tienen correspondencia con la dirección de la velocidad del comportamiento aleatorio subyacente, con respecto a la tasa de interés, el modelo no presenta arbitraje y es completo. Se construye en detalle las estrategias replicables para opciones, y se obtiene una presentación cerrada para el precio de las opciones. Las estrategias de cubrimiento quantile para opciones son construidas. Esta metodología es aplicada al control de riesgo y fijación de precios de instrumentos de seguros.