Our research shows that the volume traded by insiders is positively linked to the value of their insider information and negatively related to the likely penalty they will receive if detected by market regulators. These findings suggest that individuals trade off the costs and benefits of crime. An important finding of our study is that
There are certain stocks with similar characteristics to lottery tickets, though with a very small chance of winning and a negative average return, why would any investor choose to purchase such “lottery stocks”? This paper investigates investor behaviour, in particular whether they seek out risky investments and the impact this has on investor wealth. We
A new study investigates whether an investment strategy which rotates between different investment styles based on macroeconomic signals adds economic value using stock and fund level data. Mutual funds tend to follow an investment style or a blend of styles approach, including Value (buying underpriced stocks), Momentum (investing in stocks which have had high past
Are fair markets more efficient? A study from the Capital Markets Cooperative Research Centre (CMCRC), forthcoming in the Journal of Business Ethics, has found that improving market fairness helps to reduce transaction costs, but not all market design changes simultaneously enhance both market fairness and efficiency. Dr Shan Ji Head of Product Development CMCRC Keywords: ramping,
Researcher discovers that a combination of adversarial learning and sparse modelling techniques improves the performance of an email/spam classifier. Fei Wang CMCRC PhD candidate U. of Sydney Prof Sanjay Chawla CMCRC Research Leader U. of Sydney Classifiers are widely used in many computer-based applications to the bene- fit of virtually all computer users. An important
With dark trading escalating globally, investors and regulators alike are start- ing to become a little scared of the dark yet little is known about the market quality impacts of their introduction. Sean Foley CMCRC PhD candidate U. of Sydney Sean Foley is a PhD researcher at the CMCRC. His research interests include the influence
Study looks at combining text data and financial quantitative data to produce a model for predicting a stocks daily return. Tony Zhao Zhao is a PhD student at Macquarie University. He has worked on a wide range of topics including embedded systems, digital signal processing, machine learning, large-scale data processing and natural language processing but
Researchers produce a new framework, StreamEB, which could revolutionise the visual analysis of data and graph streams. Dr Quan Nguyen CMCRC PhD graduate U. of Sydney Prof Peter Eades CMCRC Research Leader U. of Sydney High velocity data streams such as trading data have become ubiquitous since the 1990s and graph streaming is becoming increasingly
Evidence from research based on Italian listed companies suggests that audit pricing is affected by the information asymmetry that surrounds a company. Pierangelo Rosati CMCRC PhD candidate U. of Chieti-Pescara Prof Alex Frino CMCRC Research Director MGSM, Macquarie U. Audit fees are the amount of money that auditors receive for their auditing ser- vices from
This paper analyses the introduction of competition to the Australian equities market with the entry of the Chi-X marketplace. We analyse the impact it has on market quality and provide evidence that market efficiency, as proxied by transaction costs and price discovery, is improved in the wake of competition. We also argue that the market