Speeches, addresses, articles

Do fund flow-return relations depend on the type of investor? A research note

Jacquelyn E. Humphrey et al. — Sun, 10 Mar 2013 16:33:36 PDT

This study investigates whether the relation between aggregate fund flow and market returns differs between retail and institutional funds. For the retail fund sample, we document a contemporaneous relation between flow and market returns and also find evidence of feedback trading. In contrast, there is little evidence of a relation between flow and market returns for the institutional fund sample. Consequently, it appears that retail and institutional fund investors use different investment strategies, with retail investors following a more naive strategy. We find no evidence of flow inducing price pressure for either type of fund.

The impact of terrorism on global equity market integration

Chris Bilson et al. — Thu, 01 Nov 2012 16:43:44 PDT

In this paper we investigate the short-term contagion and long-term integration effects of terrorist activity on national stock markets. Using the partially integrated model of Bekaert et al. (Bekaert G, Harvey C and Ng A (2005) Market integration and contagion. Journal of Business 78: 39–69), we examine whether changes in cross-border relationships surrounding recent terrorist events are caused by changes in exposure to common risk factors and investigate whether these findings are similar across both developed and emerging market securities. Our research concludes that terrorism induces substantial contagion and market integration effects on national equity markets. Specifically, we provide strong evidence that major terrorist attacks induce substantial contagion consequences, particularly for developed nation equity markets. In terms of longer-term integration effects, a strong increase in cross-market correlation is observed from the pre to post-9/11 period. However, we find little evidence of an increase in the risk exposures of national markets to common risk factors, suggesting that this heightened correlation is driven by an increase in global risk factor uncertainty. This finding is consistent with the argument that an increase in the risk aversion of market participants is associated with terrorist attacks.

Size and book-to-market factors in Australia

Tim Brailsford et al. — Mon, 18 Jun 2012 16:47:12 PDT

There is continuing debate in the asset pricing literature as to the acceptance of the Fama-French three-factor model. While this model has received strong empirical support from tests in the US equity market, tests of the model in the Australian market have yielded inconclusive findings, particularly in respect of the HML factor. Prior research in Australia has suffered from limited datasets in respect of the accounting variables, and previous results vary with the scope of the dataset employed. Our study provides two advances. First, the study utilises a purpose-built dataset spanning 25 years and 98% of all listed firms. Second, the study employs a more appropriate portfolio construction method than that employed in prior studies. With these advances, the study is more able to test the three-factor model against the CAPM. The findings support the superiority of the Fama-French model, and for the first time align the research in this area between Australia and the USA.

The investment value of the value premium

Tim Brailsford et al. — Tue, 24 Jan 2012 15:27:08 PST

Globalisation's contribution to a better world

Trevor C. Rowe — Thu, 28 Sep 2006 17:01:34 PDT

[Excerpt]Globalisation has and is contributing enormously to the economic wellbeing of the world economies. Australia has well positioned itslef during the past decade in the globalised environment. Several studies have concluded that nations with open, market orientated economies, have recently grown twice as fast as those with closed economies.

Investment in Asia

Trevor C. Rowe — Tue, 11 Apr 2006 20:22:13 PDT

Address to the Asia Society by the Chancellor of Bond University, on investment in Asia.