How does Dark Trading affect Price Discovery?

Price discovery (as an element of market efficiency) is one of the cornerstones of market quality the other being market fairness.

Drew Harris PDF icon Summary 23-01-15
Spain, Ireland and the Euro crisis

​The 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.

Miles Waring PDF icon Summary 15-12-14
Using superannuation to purchase the family home

​Housing affordability in Australia has been in decline for more than two decades. Over the same period, the value of superannuation assets has risen strongly.

Yolanda Li PDF icon Summary View paper 15-12-14
Can discretion predict director returns?

Directors 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.

Sean Hardy PDF icon Summary View Paper 15-12-14
Ownership concentration, industrial competition and information asymmetry

Managers and major shareholders typically have an information advantage over outside investors when trading a company’s shares.

Ethan Wang PDF icon Summary 15-12-14
Hedging and immunization of longevity risk

Increasing 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.

Estelle Liu PDF icon Summary 15-12-14
Is there an optimal closing price mechanism?

Concerns 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. 

Nicholas Cordi, Sean Foley PDF icon Summary 15-12-14
Gaming in futures market suggests model could be improved?

Evidence 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.

Sean Foley PDF icon Summary 14-11-14
Equity Issues and the Impact of Lead Manager Affiliation on Broker Market Share and Trading Volume

Seasoned 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.

Jimmy Liu PDF icon SummaryPDF icon Full Article 31-10-14
Tick Size debate and Algorithmic Trading

​A new study by CMCRC researchers suggests that companies may be able to influence the level of algorithmic trading (AT) by adjusting their price level.

Tony Zhang PDF icon SummaryPDF icon Full Article 08-08-14
What Drives Investment-Cash Flow Sensitivity around the World?

Motivated 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.

Fariborz Moshirian,Vikram Nanda,Alexander Vadilyev,Bohui Zhang PDF icon Full Article 20-05-14
Algorithmic trading using short interest as the primary trading signal

A 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.

James Melouney PDF icon Summary 01-05-14
Opening auctions and their sequence does it matter?

CMCRC 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.

Yang (Kevin) Sun, Petko Kalev, Huu Nhan Duong, Erik Theissen PDF icon SummaryPDF icon Full Article 21-04-14
Does portfolio emulation outperform its target funds?

An 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.

Zhe Chen, F Douglas Foster, David R Gallagher, Adrian D Lee PDF icon SummaryPDF icon Full Article 02-12-13
Does HFT Exacerbate End-of-Day (EOD) Price dislocation?

Our paper is among the first to provide an empirical assessment as to whether High Frequency Trading (HFT) has a positive effect on market fairness.

Douglas Cumming, Feng Zhan, Michael Aitken PDF icon SummaryPDF icon News ReleasePDF icon Full Article 06-11-13
Joint Apposition Extraction with Syntactic and Semantic Constraints

A 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”.

James Curran, Will Radford PDF icon SummaryPDF icon Full Article 31-10-13
How much does an Illegal Insider Trade?

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.

Frino A, Satchell S, Wong B, Zheng H PDF icon SummaryPDF icon Full Article 09-10-13
Investor Behaviour and Lottery Stocks

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”?

Grace Gong PDF icon SummaryPDF icon Press ReleasePDF icon Full Article 01-10-13
Style factor timing: An application to the portfolio holdings of US fund managers

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.

David R Gallagher, Peter A Gardner, Camille H Schmidt PDF icon SummaryPDF icon Full Article 18-09-13
Market Quality: Fairness vs. Efficiency

Are fair markets more efficient?

Shan Ji PDF icon Summary 20-08-13
Data mining researchers use innovative techniques to build robust classifier

Researcher discovers that a combination of adversarial learning and sparse modelling techniques improves the performance of an email/spam classifier.

Sanjay Chawla, Wei Liu, Fei Wang PDF icon SummaryPDF icon News ReleasePDF icon Full Article 10-07-13
Should we be afraid of the dark?

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 PDF icon SummaryPDF icon News releasePDF icon Full Article SSRN Link 05-07-13
Computer science research produces new type of regression algorithm for stock picking

Study looks at combining text data and financial quantitative data to produce a model for predicting a stocks daily return.

Tony Zhao PDF icon SummaryPDF icon News ReleasePDF icon Full Article 03-07-13
Pioneering visualization framework makes the picture clearer

Researchers produce a new framework, StreamEB, which could revolutionise the visual analysis of data and graph streams.

Quan Nguyen, Peter Eades PDF icon SummaryPDF icon Full Article 27-06-13
Audit research finds a way to identify listed companies with questionable practices

Evidence from research based on Italian listed companies suggests that audit pricing is affected by the information asymmetry that surrounds a company.

Pierangelo Rosati, Alex Frino PDF icon SummaryPDF icon Full Article 26-06-13