Price discovery (as an element of market efficiency) is one of the cornerstones of market quality the other being market fairness.
Summary 23-01-15The impact of the GFC in Europe has been, or perhaps remains, arguably more severe than the Great Depression in terms of breadth, depth and persistence.
Summary 15-12-14Housing affordability in Australia has been in decline for more than two decades. Over the same period, the value of superannuation assets has risen strongly.
Summary View paper 15-12-14Directors execute trades in their companies’ shares for a variety of reasons. Their actions may have information value for other investors seeking to mimic these strategies.
Summary View Paper 15-12-14Managers and major shareholders typically have an information advantage over outside investors when trading a company’s shares.
Summary 15-12-14Increasing life expectancy rates are extending the liability profiles of annuity income providers. However, the challenge of devising asset allocation strategies to fund these liabilities is complicated by a lack of appropriate assets.
Summary 15-12-14Concerns regarding the prevalence of manipulation of closing prices have prompted substantial changes to the mechanisms used to close trading at stock exchanges around the world.
Summary 15-12-14Evidence from UK interest rate futures market reveals that traders have been “drowning” the market with oversized orders, increasing their allocation under a pure pro-rata matching algorithm.
Summary 14-11-14Seasoned equity offerings (SEOs) are widely regarded as one of the most important capital structure events for listed companies. CMCRC researchers show brokers affiliated with SEO managers gain additional market share during SEOs as compared to unaffiliated brokers.
Summary Full Article 31-10-14A new study by CMCRC researchers suggests that companies may be able to influence the level of algorithmic trading (AT) by adjusting their price level.
Summary Full Article 08-08-14Motivated by ongoing debates on investment-cash flow sensitivity (ICFS), its relation to firm-level financial constraints and its documented decline in the U.S., we investigate the determinants of cross-country and time-series variation in ICFS.
Full Article 20-05-14A new study by CMCRC researchers James Melouney and Dr. Matthew Clifton report that a trading strategy based on short-selling information can be used to develop several stock portfolios, achieving annual returns ranging from 0.2118% to 6.3015% after transaction costs.
Summary 01-05-14CMCRC research reports the efficiency of opening prices is associated with the stock- specific open-auction sequence on the ASX. The sequential nature of the Australian opening auction implies that some stocks always open before other.
Summary Full Article 21-04-14An emulation fund collects trade signals from a sponsor’s multi-manager portfolio (e.g. a superannuation fund that hires a number of underlying active managers to make trading decisions) and rebalances on a lagged basis to match its holdings.
Summary Full Article 02-12-13Our paper is among the first to provide an empirical assessment as to whether High Frequency Trading (HFT) has a positive effect on market fairness.
Summary News Release Full Article 06-11-13A study by CMCRC researchers presents a fresh look at extracting apposition from large collections of news, web and broadcast text in order to turn unstructured news stories into “computable data”.
Summary Full Article 31-10-13Our 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.
Summary Full Article 09-10-13There 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”?
Summary Press Release Full Article 01-10-13A 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.
Summary Full Article 18-09-13Researcher discovers that a combination of adversarial learning and sparse modelling techniques improves the performance of an email/spam classifier.
Summary News Release Full Article 10-07-13With 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.
Summary News release Full Article SSRN Link 05-07-13Study looks at combining text data and financial quantitative data to produce a model for predicting a stocks daily return.
Summary News Release Full Article 03-07-13Researchers produce a new framework, StreamEB, which could revolutionise the visual analysis of data and graph streams.
Summary Full Article 27-06-13Evidence from research based on Italian listed companies suggests that audit pricing is affected by the information asymmetry that surrounds a company.
Summary Full Article 26-06-13