Study looks at combining text data and financial quantitative data to produce a model for predicting a stocks daily return.
Evidence from research based on Italian listed companies suggests that audit pricing is affected by the information asymmetry that surrounds a company.
This paper analyses the introduction of competition to the Australian equities market with the entry of the Chi-X marketplace.
Has the introduction of the ASX’s ETF Market Making Scheme improved efficiency and increased trading activity? A new study answers these questions.
Investment study shows one way “Flight to Quality” is the way forward for Australian retirees in the long term, especially as it comes with “downside protection”.
A new study looks at evidence from the Sydney Futures Exchange (SFE) on the influence of improved pre-trade transparency (PTT) on the information content of the limit order book (LOB).
A CMCRC study reveals that prior to the public release of stock recommenda- tions, associated institutions experience abnormal trading volume suggesting evidence of “tipping” to privileged clients. This effect is greatest for small and mid-cap stocks.
Do fundamental accounting-based scoring models like the FSCORE and GSCORE predict winners and losers for non-U.S. stocks? A new study tests these models on Australian stocks and finds they perform well.
Chinese policymakers perhaps view stamp duty increases on their share markets as a way of reducing short term speculation and resulting stock price volatility when they believe the market to be overheated; new research examines the implications of this and sees if this policy has been suc
There is plenty of room for fund managers to improve their performance as evidence suggests they buy winners but sell even bigger winners.
Can official announcements stipulated in insider trading legislation fulfill their purpose to significantly reduce information asymmetry? A recent study says yes, and in doing so develops a new intraday estimation procedure to measure information asymmetry.
Research suggests that unless there are big changes to superannuation rules or changes in human behaviour, forecasts of the money required to finance the Age Pension may have been considerably underestimated.
The number of continuous disclosure class actions in Australia is rising but Australia does not have a standard method for calculating shareholder loss. Em- pirical research assesses the different methods of calculating loss and identifies a clear winner.
Study highlights how price discovery in the world’s biggest market (the US market), affects HFT and UK liquidity.
Basel II introduced a new and more sophisticated way of modelling banks credit risk which is used by the big four banks in Australia. A recent study uses advanced mathematical techniques to stress test this model.
This CMCRC study of US markets, which feature approximately 300 different venues, has found that segmentation to the extent that it has experienced in the U.S. has led to a deterioration of market quality.
Law enforcement and prosecutions are required for regulation to improve market integrity (the extent to which investors engage in prohibited trading behaviour).
Do capital markets in developed countries give their corporations a big edge over their rivals in emerging markets when it comes to accessing finance? A com- prehensive new study attempts to shed light on this question.
Regulators around the world are introducing cost recovery models, in part to curb the increasing incidence of High Frequency Trading. The question that arises is – will this make markets better?
Everyone knows that decisions about asset allocation are significantly important in portfolio management. Indeed, getting the asset allocation decision right is fundamental for any fund to meet their risk/return objectives.
CMCRC research examining US equities shows that Quality stocks, and mutual funds which invest in these Quality stocks, provide downside protection during financial market crises.