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
Summary News release Full ArticleSSRN Link 05-07-13Study looks at combining text data and financial quantitative data to produce a model for predicting a stocks daily return.
Tony Zhao Summary News Release Full Article 03-07-13Evidence 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 Summary Full Article 26-06-13This paper analyses the introduction of competition to the Australian equities market with the entry of the Chi-X marketplace.
Michael Aitken, Haoming Chen, Sean Foley News Release Full Article 25-06-13Has the introduction of the ASX’s ETF Market Making Scheme improved efficiency and increased trading activity? A new study answers these questions.
Jag Dosanjh, David Michayluk, Elvis Jarnecic Summary Full Article 12-06-13Investment 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”.
Camille Schmidt, David Gallagher Summary Full Article 07-06-13A 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).
Kevin Sun Summary Press Release Full Article 05-06-13A 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.
Ming Ying Lim, Andrew Lepone, Jin Boon Wong Summary Press Release Full Article 29-05-13Underwriters of dividend re-investment plans have a legitimate interest in hedging their exposure by going short.
Nicholas Pricha,Sean Foley,Graham Partington,Jiri Svec Summary
Full Article 26-05-13Do 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.
Sean Foley, Angelo Aspris Summary Full Article 09-05-13Chinese 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
Lynn Zhu Summary Full Article 09-05-13There is plenty of room for fund managers to improve their performance as evidence suggests they buy winners but sell even bigger winners.
Zhe Chen, David Gallagher Summary Full Article 09-05-13Can 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.
Thomas Poppe, Dirk Schiereck, Ingo Wiegand, Michael Aitken Summary Full Article 05-05-13Research 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.
Jack Ding Summary Full Article 12-04-13The 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.
Daniel Maroney, Dr Elvis Jarnecic Summary Full Article 12-04-13Study highlights how price discovery in the world’s biggest market (the US market), affects HFT and UK liquidity.
Kiril Alampieski , Andrew Lepone Summary Full Article 08-04-13Basel 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.
Silvio Tarca Summary Full Article 05-04-13This 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.
Hui Zheng, Amy Kwan Policy Recommendation Full Article Appendices 15-03-13Law enforcement and prosecutions are required for regulation to improve market integrity (the extent to which investors engage in prohibited trading behaviour).
Jacob Chan Summary Full Article 11-03-13Do 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.
Alexander Vadilyev Summary Full Article 04-03-13 Summary Full Article 03-03-13Regulators 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?
Alexander Sacco, Andrew Lepone Summary Full Article 02-03-13Everyone 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.
Paul Dou, David Gallagher Summary Full Article 02-03-13CMCRC research examining US equities shows that Quality stocks, and mutual funds which invest in these Quality stocks, provide downside protection during financial market crises.
David R. Gallagher, Peter A. Gardner, Camille H. Schmidt, Terry S. Walter Summary Full Article Press Release 12-01-13