http://hdl.handle.net/2123/193 Tue, 21 May 2013 02:22:27 GMT 2013-05-21T02:22:27Z http://hdl.handle.net/2123/9071 Title: Competing for contracts with buyer uncertainty: Choosing price and quality variables Authors: Anderson, Edward; Qian, Cheng Abstract: We model a situation in which a single firm evaluates competing suppliers and selects just one. Suppliers submit bids involving both price and quality variables. The buyer makes a choice which from the supplier's perspective appears to contain a stochastic element - for example the buyer may have information, which is not shared with the suppliers, and that gives one supplier an advantage in the final choice. We use a discrete choice model of buyer choice (e.g. multinomial logit). Our main result is that the supplier's choice of the quality variables is not affected by the competitive environment. Thus the suppliers compete only on price. We compare this with a second model in which the buyer's weighting on different quality variables is uncertain at the time bids are made. Thu, 09 May 2013 00:00:00 GMT http://hdl.handle.net/2123/9071 2013-05-09T00:00:00Z http://hdl.handle.net/2123/8965 Title: Forecast combination for U.S. recessions with real-time data Authors: Vasnev, Andrey; Pauwels, Laurent Abstract: This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident indicators and yield curve models, allowing for dynamics and real-time data revisions. Forecast combinations use logscore and quadratic-score based weights, which change over time. This paper finds that forecast accuracy improves when combining the probability forecasts of both the coincident indicators model and the yield curve model, compared to each model's own forecasting performance. Fri, 01 Mar 2013 00:00:00 GMT http://hdl.handle.net/2123/8965 2013-03-01T00:00:00Z http://hdl.handle.net/2123/8964 Title: Practical use of sensitivity in econometrics with an illustration to forecast combinations Authors: Vasnev, Andrey; Magnus, Jan R Abstract: Sensitivity analysis is important for its own sake and also in combination with diagnostic testing. We consider the question how to use sensitivity statistics in practice, in particular how to judge whether sensitivity is large or small. For this purpose we distinguish between absolute and relative sensitivity and highlight the context-dependent nature of any sensitivity analysis. Relative sensitivity is then applied in the context of forecast combination and sensitivity-based weights are introduced. All concepts are illustrated through the European yield curve. In this context it is natural to look at sensitivity to autocorrelation and normality assumptions. Different forecasting models are combined with equal, fit-based and sensitivity-based weights, and compared with the multivariate and random walk benchmarks. We show that the fit-based weights and the sensitivity-based weights are complementary. For long-term maturities the sensitivity-based weights perform better than other weights. Fri, 01 Mar 2013 00:00:00 GMT http://hdl.handle.net/2123/8964 2013-03-01T00:00:00Z http://hdl.handle.net/2123/8963 Title: Multiple Event Incidence and Duration Analysis for Credit Data Incorporating Non-Stochastic Loan Maturity Authors: Vasnev, Andrey; Gerlach, Richard; Watkins, John Abstract: Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity events as censored stochastic event times. The medical literature has binary parametric ‘cure rate’ models that deal with populations that never experienced the modelled event. We propose and develop a Multinomial parametric incidence and duration model, incorporating such populations. In the class of cure rate models, this is the first fully parametric multinomial model and is the first framework to accommodate an event with pre-determined duration. The methodology is applied to unsecured personal loan credit data provided by one of Australia’s largest financial services organizations. This framework is shown to be more flexible and predictive through a simulation and empirical study that reveals: simulation results of estimated parameters with a large reduction in bias; superior forecasting of duration; explanatory variables can act in different directions upon incidence and duration; and, variables exist that are statistically significant in explaining only incidence or duration. Sat, 01 Dec 2012 00:00:00 GMT http://hdl.handle.net/2123/8963 2012-12-01T00:00:00Z http://hdl.handle.net/2123/8933 Title: Forecast combination for U.S. recessions with real-time data Authors: Vasnev, Andrey; Pauwels, Laurent Abstract: This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident indicators and yield curve models, allowing for dynamics and real-time data revisions. Forecast combinations use logscore and quadratic-score based weights, which change over time. This paper finds that forecast accuracy improves when combining the probability forecasts of both the coincident indicators model and the yield curve model, compared to each model's own forecasting performance. Tue, 01 Jan 2013 00:00:00 GMT http://hdl.handle.net/2123/8933 2013-01-01T00:00:00Z http://hdl.handle.net/2123/8932 Title: Practical considerations for optimal weights in density forecast combination Authors: Vasnev, Andrey; Pauwels, Laurent Abstract: The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with optimal weights obtained from solving an optimization problem. This paper studies the properties of this optimization problem when the number of forecasting periods is relatively small and finds that it often produces corner solutions by allocating all the weight to one density forecast only. This paper’s practical recommendation is to have an additional training sample period for the optimal weights. While reserving a portion of the data for parameter estimation and making pseudo-out-of-sample forecasts are common practices in the empirical literature, employing a separate training sample for the optimal weights is novel, and it is suggested because it decreases the chances of corner solutions. Alternative log-score or quadratic-score weighting schemes do not have this training sample requirement. January Tue, 01 Jan 2013 00:00:00 GMT http://hdl.handle.net/2123/8932 2013-01-01T00:00:00Z http://hdl.handle.net/2123/8845 Title: S.O.C.I.A.L. - Emergent Enterprise Social Networking Use Cases: A Multi Case Study Comparison Authors: Riemer, Kai; Richter, Alexander Abstract: Enterprise Social Networking (ESN) is a relatively new phenomenon. It refers to the application of Internet platforms for relationship building and short message exchanges in the context of workplace communication. While a number of case studies have provided evidence of its usefulness, a more comprehensive and structured overview of ESN is needed. In this study we carry out a cross-case comparison of five indepth ESN case studies that have elicited use practices using genre analysis. A comparison of these case results allows us to derive a comprehensive catalogue of ESN use cases that demonstrates the versatility of ESN. Our study has two main contributions. Firstly, we present a use case catalogue in a structured and accessible form, which we term the S.O.C.I.A.L. framework. The framework provides an overview of ESN that is useful for decision-makers who want to guide the rollout and adoption in their organisation. Secondly, in part to caution against the use of the framework as a blueprint or recipe, we demonstrate the contextual nature of ESN by way of different contextual profiles of ESN in teams, projects and large enterprises. Our study provides a stepping-stone for future ESN research, since the S.O.C.I.A.L. framework provides a more refined understanding of ESN as both a broad and contextual phenomenon. Wed, 12 Dec 2012 00:00:00 GMT http://hdl.handle.net/2123/8845 2012-12-12T00:00:00Z http://hdl.handle.net/2123/8352 Title: Powercrowd: Enterprise Social Networking in Professional Service Work: A Case Study of Yammer at Deloitte Australia Authors: Riemer, Kai; Scifleet, Paul; Reddig, Ruwen Abstract: Social media technologies are making fast inroads into organisations. In the context of knowledgeintensive work the propositions of improving communication, information sharing and user involvement seem particularly promising. However, the role and impact of social technologies in enterprises in general and knowledge work in particular are still not well understood, despite emerging scholarly works in this field. In this study we aim to contribute to this stream of research. We investigate the phenomenon of Enterprise Social Networking (ESN) in the context of Professional Service Firms (PSF). Our case investigates emerging communicative work practices on the ESN platform Yammer within Deloitte Australia. We perform a genre analysis of actual communication data captured on the Yammer platform. We uncover a set of emerging practices enabled by the platform within the case company and reflect on our results in the context of the knowledge-intensive nature of professional service work. We find that Yammer in the case company has become 1) an information-sharing channel, 2) a space for crowdsourcing ideas, 3) a place for finding expertise and solving problems and most importantly 4) a conversation medium for context and relationship building. Wed, 16 May 2012 00:00:00 GMT http://hdl.handle.net/2123/8352 2012-05-16T00:00:00Z http://hdl.handle.net/2123/8337 Title: Maximum likelihood estimation of time series models: the Kalman filter and beyond Authors: Proietti, Tommaso; Luati, Alessandra Abstract: The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, which are characterized by a simple temporal dependence structure, typically a first order Markov process. The states have sometimes substantial interpretation. Key estimation problems in economics concern latent variables, such as the output gap, potential output, the non-accelerating-inflation rate of unemployment, or NAIRU, core inflation, and so forth. Time-varying volatility, which is quintessential to finance, is an important feature also in macroeconomics. In the multivariate framework relevant features can be common to different series, meaning that the driving forces of a particular feature and/or the transmission mechanism are the same. The objective of this chapter is reviewing this algorithm and discussing maximum likelihood inference, starting from the linear Gaussian case and discussing the extensions to a nonlinear and non Gaussian framework. Tue, 01 May 2012 00:00:00 GMT http://hdl.handle.net/2123/8337 2012-05-01T00:00:00Z http://hdl.handle.net/2123/8173 Title: Margining Option Portfolios by Network Flows Authors: Matsypura, D.; Timkovsky, V.G. Abstract: As shown in [Rudd and Schroeder, 1982], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads with only two legs do not provide sufficient accuracy in measuring risk. Therefore, margining practice also employs spreads with three and four legs. A polynomial time solution to the extension of the problem where option spreads with three and four legs are also used for offsetting is not known. In this paper we propose a heuristic network flow algorithm for this extension and present a computational study that proves high efficiency of this algorithm in margining practice. Wed, 01 Sep 2010 00:00:00 GMT http://hdl.handle.net/2123/8173 2010-09-01T00:00:00Z http://hdl.handle.net/2123/8172 Title: Combinatorics of Option Spreads: The Margining Aspect Authors: Matsypura, D.; Timkovsky, V.G. Abstract: In December 2005, the U.S. Securities and Exchange Commission approved margin rules for complex option spreads with 5, 6, 7, 8, 9, 10 and 12 legs. Only option spreads with 2, 3 or 4 legs were recognized before. Taking advantage of option spreads with a large number of legs substantially reduces margin requirements and, at the same time, adequately estimates risk for margin accounts with positions in options. In this paper we present combinatorial models for known and newly discovered option spreads with up to 134 legs. We propose their full characterization in terms of matchings, alternating cycles and chains in graphs with bicolored edges. We show that the combinatorial analysis of option spreads reveals powerful hedging mechanisms in the structure of margin accounts, and that the problem of minimizing the margin requirement for a portfolio of option spreads can be solved in polynomial time using network flow algorithms. We also give recommendations on how to create more efficient margin rules for options. Thu, 01 Jul 2010 00:00:00 GMT http://hdl.handle.net/2123/8172 2010-07-01T00:00:00Z http://hdl.handle.net/2123/8171 Title: Portfolio Margining: Strategy vs Risk Authors: Coffman, E.G. Jr; Matsypura, D.; Timkovsky, V.G. Abstract: This paper presents the results of a novel mathematical and experimental analysis of two approaches to margining customer accounts, strategy-based and risk-based. Building combinatorial models of hedging mechanisms of these approaches, we show that the strategy-based approach is, at this point, the most appropriate one for margining security portfolios in customer margin accounts, while the risk-based approach can work efficiently for margining only index portfolios in customer mar-gin accounts and inventory portfolios of brokers. We also show that the application of the risk-based approach to security portfolios in customer margin accounts is very risky and can result in the pyramid of debt in the bullish market and the pyramid of loss in the bearish market. The results of this paper support the thesis that the use of the risk-based approach to margining customer accounts with positions in stocks and stock options since April 2007 influenced and triggered the U.S. stock market crash in October 2008. We also provide recommendations on ways to set appropriate margin requirements to help avoid such failures in the future. Mon, 01 Mar 2010 00:00:00 GMT http://hdl.handle.net/2123/8171 2010-03-01T00:00:00Z http://hdl.handle.net/2123/8170 Title: Estimating Value At Risk Authors: Lu, Zudi; Huang, Hai; Gerlach, Richard Abstract: Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting technique, value-at-risk (VaR) has turned to be a popular measure of the degree of various risks in financial risk management. In this paper we propose a new approach termed skewed-EWMA to forecast the changing volatility and formulate an adaptively efficient procedure to estimate the VaR. Differently from the JP Morgan's standard-EWMA, which is derived from a Gaussian distribution, and the Guermat and Harris (2001)'s robust-EWMA, from a Laplace distribution, we motivate and derive our skewed-EWMA procedure from an asymmetric Laplace distribution, where both skewness and heavy tails in return distribution and the time-varying nature of them in practice are taken into account. An EWMA-based procedure that adaptively adjusts the shape parameter controlling the skewness and kurtosis in the distribution is suggested. Backtesting results show that our proposed skewed-EWMA method offers a viable improvement in forecasting VaR. Fri, 01 Jan 2010 00:00:00 GMT http://hdl.handle.net/2123/8170 2010-01-01T00:00:00Z http://hdl.handle.net/2123/8169 Title: Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets Authors: Gerlach, Richard; Chen, Cathy W.S; Lin, Liou-Yan Abstract: Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional expectation beyond a quantile, that has recently been semi-parametrically estimated via asymmetric least squares and so-called expectiles. An asymmetric Gaussian density is proposed allowing a likelihood to be developed that leads to Bayesian semi-parametric estimation and forecasts of expectiles and expected shortfall. Further, the conditional autoregressive expectile class of model is generalised to two fully nonlinear families. Adaptive Markov chain Monte Carlo sampling schemes are employed for estimation in these families. The proposed models are clearly favoured in an empirical study forecasting eleven financial return series: clear evidence of more accurate expected shortfall forecasting, compared to a range of competing methods is found. Further, the most favoured models are those estimated by Bayesian methods. Sun, 01 Jan 2012 00:00:00 GMT http://hdl.handle.net/2123/8169 2012-01-01T00:00:00Z http://hdl.handle.net/2123/8168 Title: The Multistep Beveridge-Nelson Decomposition Authors: Proietti, Tommaso Abstract: The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained by the direct autoregressive approach, which optimizes the predictive ability of the AR model at forecast horizons greater than one. We compare our proposal with the standard Beveridge-Nelson decomposition, for which the forecast function is obtained by iterating the one-stepahead predictions via the chain rule. We illustrate that the multistep Beveridge-Nelson trend is more efficient than the standard one in the presence of model misspecification and we subsequently assess the predictive validity of the extracted transitory component with respect to future growth. Sat, 01 Oct 2011 00:00:00 GMT http://hdl.handle.net/2123/8168 2011-10-01T00:00:00Z http://hdl.handle.net/2123/8167 Title: Does the Box-Cox transformation help in forecasting macroeconomic time series? Authors: Proietti, Tommaso; Lütkepohl, Helmut Abstract: The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating the optimal transformation parameter based on the frequency domain estimation of the prediction error variance, and also conduct an extensive recursive forecast experiment on a large set of seasonal monthly macroeconomic time series related to industrial production and retail turnover. In about one fifth of the series considered the Box-Cox transformation produces forecasts significantly better than the untransformed data at one-step-ahead horizon; in most of the cases the logarithmic transformation is the relevant one. As the forecast horizon increases, the evidence in favour of a transformation becomes less strong. Typically, the naïve predictor that just reverses the transformation leads to a lower mean square error than the optimal predictor at short forecast leads. We also discuss whether the preliminary in-sample frequency domain assessment conducted provides a reliable guidance which series should be transformed for improving significantly the predictive performance. Sat, 01 Oct 2011 00:00:00 GMT http://hdl.handle.net/2123/8167 2011-10-01T00:00:00Z http://hdl.handle.net/2123/8166 Title: Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search Authors: Proietti, Tommaso; Grassi, Stefano Abstract: An important issue in modelling economic time series is whether key unobserved components representing trends, seasonality and calendar components, are deterministic or evolutive. We address it by applying a recently proposed Bayesian variable selection methodology to an encompassing linear mixed model that features, along with deterministic effects, additional random explanatory variables that account for the evolution of the underlying level, slope, seasonality and trading days. Variable selection is performed by estimating the posterior model probabilities using a suitable Gibbs sampling scheme. The paper conducts an extensive empirical application on a large and representative set of monthly time series concerning industrial production and retail turnover. We find strong support for the presence of stochastic trends in the series, either in the form of a time-varying level, or, less frequently, of a stochastic slope, or both. Seasonality is a more stable component: only in 70% of the cases we were able to select at least one stochastic trigonometric cycle out of the six possible cycles. Most frequently the time variation is found in correspondence with the fundamental and the first harmonic cycles. An interesting and intuitively plausible finding is that the probability of estimating time-varying components increases with the sample size available. However, even for very large sample sizes we were unable to find stochastically varying calendar effects. Thu, 01 Sep 2011 00:00:00 GMT http://hdl.handle.net/2123/8166 2011-09-01T00:00:00Z http://hdl.handle.net/2123/8165 Title: Do External Political Pressures Affect the Renminbi Exchange Rate? Authors: Pauwels, Laurent; Liu, Li-Gang Abstract: This paper investigates whether external political pressure for faster renminbi (RMB) appreciation affect both the daily returns and the conditional volatility of the RMB central parity rate. We construct several political pressure indicators pertaining to the RMB exchange rate, with a special emphasis on the US pressure, to test the hypothesis. After controlling for Chinese macroeconomic surprise news, we find that US and non-US political pressure does not have a significant influence on RMB's daily returns. However, evidence suggests that political pressures, and especially those from the US, have statistically significant impacts on the conditional volatility of the RMB. Furthermore, we conduct the same exercise on the 12-month RMB nondeliverable forward rate (NDF). We find that the NDF market is highly responsive to macroeconomic surprise news and there is some evidence that Sino-US bilateral meetings affect the conditional volatility of the RMB NDF. Thu, 01 Sep 2011 00:00:00 GMT http://hdl.handle.net/2123/8165 2011-09-01T00:00:00Z http://hdl.handle.net/2123/8164 Title: Ranking games and gambling: When to quit when you're ahead Authors: Anderson, E.J. Abstract: It is common for rewards to be given on the basis of a rank ordering, so that relative performance amongst a cohort is the criterion. In this paper we formulate an equilibrium model in which an agent makes successive decisions on whether or not to gamble and is rewarded on the basis of a rank ordering of final wealth. This is a model of the behaviour of mutual fund managers who are paid depending on funds under management which in turn are largely determined by annual or quarterly rank orderings. In this model fund managers can elect either to pick stocks or to use a market tracking strategy. In equilibrium the final distribution of rewards will have a negative skew. We explore how this distribution depends on the number of players, the probability of success when gambling, the structure of the rewards, and on information regarding the other player's performance. Mon, 01 Aug 2011 00:00:00 GMT http://hdl.handle.net/2123/8164 2011-08-01T00:00:00Z http://hdl.handle.net/2123/8163 Title: The Two-sided Weibull Distribution and Forecasting Financial Tail Risk Authors: Gerlach, Richard; Chen, Qian Abstract: A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility specifications to forecast tail risk in four international markets, two exchange rates and one individual asset series, over a four year forecast period that includes the recent global financial crisis. The two-sided Weibull performs at least as well as other distributions for VaR forecasting, but performs most favourably for conditional Value at Risk forecasting, prior to as well as during and after the recent crisis. Sat, 01 Jan 2011 00:00:00 GMT http://hdl.handle.net/2123/8163 2011-01-01T00:00:00Z http://hdl.handle.net/2123/8162 Title: Mixed strategies in discriminatory divisible-good auctions Authors: Anderson, E.J.; Holmberg, P.; Philpott, A.B. Abstract: Using the concept of market-distribution functions, we derive general optimality conditions for discriminatory divisible-good auctions, which are also applicable to Bertrand games and non-linear pricing. We introduce the concept of offer distribution function to analyze randomized offer curves, and characterize mixed-strategy Nash equilibria for pay-as-bid auctions where demand is uncertain and costs are common knowledge; a setting for which pure-strategy supply function equilibria typically do not exist. We generalize previous results on mixtures over horizontal offers as in Bertrand-Edgeworth games, but more importantly we characterize novel mixtures over partly increasing supply functions. Sun, 01 Nov 2009 00:00:00 GMT http://hdl.handle.net/2123/8162 2009-11-01T00:00:00Z http://hdl.handle.net/2123/8161 Title: Survival Analysis for Credit Scoring: Incidence and Latency Authors: Watkins, John; Vasnev, Andrey; Gerlach, Richard Abstract: Duration analysis is an analytical tool for time-to-event data that has been borrowed from medicine and engineering to be applied by econometricians to investigate typical economic and finance problems. In applications to credit data, time to the pre-determined maturity events have been treated as censored observations for the events with stochastic latency. A methodology, motivated by the cure rate model framework, is developed in this paper to appropriately analyse a set of mutually exclusive terminal events where at least one event may have a predetermined latency. The methodology is applied to a set of personal loan data provided by one of Australia's largest financial services institutions. This is the first framework to simultaneously model prepayment, write off and maturity events for loans. Furthermore, in the class of cure rate models it is the first fully parametric multinomial model and the first to accommodate for an event with pre-determined latency. The simulation study found this model performed better than the two most common applications of survival analysis to credit data. In addition, the result of the application to personal loans data reveals particular explanatory variables can act in different directions upon incidence and latency of an event and variables exist that may be statistically significant in explaining only incidence or latency. Sun, 01 Nov 2009 00:00:00 GMT http://hdl.handle.net/2123/8161 2009-11-01T00:00:00Z http://hdl.handle.net/2123/8160 Title: Convergent learning algorithms for potential games with unknown noisy rewards Authors: Chapman, Archie C.; Leslie, David S.; Rogers, Alex; Jennings, Nicholas R. Abstract: In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world applications, whenever rewards for actions cannot be prespecified and must be learned on-line. Standard results in game theory, however, do not consider such settings. Specifically, using results from stochastic approximation and differential inclusions, we prove the convergence of variants of fictitious play and adaptive play to Nash equilibria in potential games and weakly acyclic games, respectively. These variants all use a multi-agent version of Q-learning to estimate the reward functions and a novel form of the e-greedy decision rule to select an action. Furthermore, we derive e-greedy decision rules that exploit the sparse interaction structure encoded in two compact graphical representations of games, known as graphical and hypergraphical normal form, to improve the convergence rate of the learning algorithms. The structure captured in these representations naturally occurs in many distributed optimisation and control applications. Finally, we demonstrate the efficacy of the algorithms in a simulated ad hoc wireless sensor network management problem. Mon, 01 Aug 2011 00:00:00 GMT http://hdl.handle.net/2123/8160 2011-08-01T00:00:00Z http://hdl.handle.net/2123/8159 Title: Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets Authors: Gerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C. Abstract: Recently, Bayesian solutions to the quantile regression problem, via the likelihood of a Skewed-Laplace distribution, have been proposed. These approaches are extended and applied to a family of dynamic conditional autoregressive quantile models. Popular Value at Risk models, used for risk management in finance, are extended to this fully nonlinear family. An adaptive Markov chain Monte Carlo sampling scheme is adapted for estimation and inference. Simulation studies illustrate favourable performance, compared to the standard numerical optimization of the usual nonparametric quantile criterion function, in finite samples. An empirical study generating Value at Risk forecasts for ten major financial stock indices finds significant nonlinearity in dynamic quantiles and evidence favoring the proposed model family, for lower level quantiles, compared to a range of standard parametric volatility models, a semi-parametric smoothly mixing regression and some nonparametric risk measures, in the literature. Sat, 01 Aug 2009 00:00:00 GMT http://hdl.handle.net/2123/8159 2009-08-01T00:00:00Z http://hdl.handle.net/2123/8158 Title: Forecast combination for discrete choice models: predicting FOMC monetary policy decisions Authors: Pauwels, Laurent; Vasnev, Andrey Abstract: This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies well-established scoring rules for qualitative response models in the context of forecast combination. Log-scores and quadratic-scores are both used to evaluate the forecasting accuracy of each model and to combine the probability forecasts. In addition to producing point forecasts, the effect of sampling variation is also assessed. This methodology is applied to forecast the US Federal Open Market Committee (FOMC) decisions in changing the federal funds target rate. Several of the economic fundamentals influencing the FOMC decisions are nonstationary over time and are modelled in a similar fashion to Hu and Phillips (2004a, JoE). The empirical results show that combining forecasted probabilities using scores mostly outperforms both equal weight combination and forecasts based on multivariate models. Wed, 01 Jun 2011 00:00:00 GMT http://hdl.handle.net/2123/8158 2011-06-01T00:00:00Z http://hdl.handle.net/2123/8157 Title: Supply Function Equilibria Always Exist Authors: Anderson, Edward Abstract: Supply function equilibria are used in the analysis of divisible good auctions with a large number of identical objects to be sold or bought. An important example occurs in wholesale electricity markets. Despite the substantial literature on supply function equilibria the existence of a pure strategy Nash equilibria for a uniform price auction in asymmetric cases has not been established in a general setting. In this paper we prove the existence of a supply function equilibrium for a duopoly with asymmetric firms having convex costs, with decreasing concave demand subject to an additive demand shock, provided the second derivative of the demand function is small enough. The proof is constructive and also gives insight into the structure of the equilibrium solutions. Fri, 01 Apr 2011 00:00:00 GMT http://hdl.handle.net/2123/8157 2011-04-01T00:00:00Z http://hdl.handle.net/2123/8156 Title: Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis Authors: Gerlach, Richard; Chen, Cathy W.S; Lin, Edward M.H.; Lee, Wcw Abstract: Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus standard and nonlinear stochastic volatility models, most considering four error probability distributions: Gaussian, Student-t, skewed-t and generalized error distribution. Adaptive Markov chain Monte Carlo methods are employed in estimation and forecasting. A portfolio of four Asia-Pacific stock markets is considered. Two forecasting periods are evaluated in light of the recent global financial crisis. Results reveal that: (i) GARCH models out-performed stochastic volatility models in almost all cases; (ii) asymmetric volatility models were clearly favoured pre-crisis; while at the 1% level during and post-crisis, for a 1 day horizon, models with skewed-t errors ranked best, while IGARCH models were favoured at the 5% level; (iii) all models forecasted VaR less accurately and anti-conservatively post-crisis Tue, 01 Mar 2011 00:00:00 GMT http://hdl.handle.net/2123/8156 2011-03-01T00:00:00Z http://hdl.handle.net/2123/8155 Title: Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan Authors: Knight, Eva; Cottet, Remy Abstract: A Semiparametric spatial model is used as it allows nonlinear estimation of both mean and variance. A Bayesian approach is used for inference via a Markov Chain Monte Carlo sampling scheme. A distinct advantage of using the Bayesian approach is the incorporation of prior information in the inferential process. The prior is updated with arrival of information. In the real world, the modeller should have some idea of the outcome before the modelling process begins. Finite sample inference can be obtained and is more accurate than asymptotic approximation. In the case of the real estate market, transaction data are finite due to infrequent trading. Estimation is done via posterior distributions which factor in the variability of estimators and therefore have improved confidence intervals. Spatial variables such as longitude and latitude are modelled via the construction of a bivariate thin plate spline. These two variables provide powerful lens for capturing the effect of demographic factors and for borrowing and lending information in neighbouring suburbs. Demographic factors and 1 trends are just as important as economic factors in determining demand for residential housing and they are also included in the model. Tue, 01 Feb 2011 00:00:00 GMT http://hdl.handle.net/2123/8155 2011-02-01T00:00:00Z http://hdl.handle.net/2123/8049 Title: Oh, SNEP! The Dynamics of Social Network Emergence - the case of Capgemini Yammer Authors: Riemer, Kai; Overfeld, Philipp; Scifleet, Paul; Richter, Alexander Abstract: With more and more organisations accepting social media into the workplace as an integral part of professional practice and group communication, understanding what exactly happens when enterprise social networks suddenly emerge in the workplace, brought in on initiative of employees in a self organising manner, is increasingly important. In this paper we present an analysis of enterprise based-short message communications shared across the Yammer enterprise social network at the international service consultancy Capgemini. We concentrate on conversations during the first nine months of uptake with a focus on self-referential communication where users convers about Yammer itself. A time-trend analysis of conversation types leads to the identification of what we term the SNEP model, the Social Network Emergence Process that captures the phases in which the social network emerged over time. The study for the first time allows to unpack in detail the often-discussed emergence aspect of enterprise social media, in terms of sense-making, user experimenting, norming behaviour, and network diffusion. The identified SNEP model is useful for managers who want to understand what happens when social media initiatives suddenly erupt into existence in their organisations. Mon, 23 Jan 2012 00:00:00 GMT http://hdl.handle.net/2123/8049 2012-01-23T00:00:00Z http://hdl.handle.net/2123/8005 Title: Is it Bad to Make Use of Unverified Information? Authors: Schaerf, Tim Abstract: Agent-based models are often used to study problems of group decision making and group movement from the animal kingdom. Some of the most thoroughly studied processes that have been modelled using agent-based models are the nest-site selection processes of social insects, particularly ants and honey bees. During nest-site selection group members are faced with the problem of choosing the best possible new site to house a colony, but it is also desirable to make the decision over a relatively short time period (an example is the speed-accuracy trade-off). The move from an old nest-site can be instigated because of destruction of the colony's old home, or because the colony has grown too big for its existing home due to reproduction. Often the collective decision on the site of the new home is made with very few members making direct comparisons between viable sites. Description: Presentation by Dr Tim Schaerf from the University of Sydney at the Agent-Based Modelling Intensive Course Wednesday Colloquium, held at the University of Sydney Business School in July 2011. Wed, 06 Jul 2011 00:00:00 GMT http://hdl.handle.net/2123/8005 2011-07-06T00:00:00Z http://hdl.handle.net/2123/7788 Title: Using Agent-Based Models to Understand the Surprising Complexity of Global Markets Authors: Earnest, David Abstract: Why is the economy “complex”? For all the recent advances in the management sciences, businesses today face markets full of unexpected events, from cascading failures of lending institutions to speculative investment and the explosive growth of tech firms. In this talk, I argue that the complexity sciences, particularly a simulation methodology known as agent-based modeling, will help key decision-makers anticipate the global dynamics of modern consumers, firms and markets. The talk demonstrates that many of the “surprises” we observe in today’s economy arise from our poor understanding of the relationship between what Nobel laureate Thomas Schelling called “micro motives and macro behavior”—that is, how individual decisions produce social structural outcomes. Our thinking tends to suffer from two fallacies: of composition (inferring structural properties from observing the behavior of individuals) and the ecological fallacy (inferring individual attributes from observing social aggregates). The talk illustrates how agent-based modeling helps us bridge the divide between individual agency and social structure. Using examples from economics and politics, I illustrate the four principal causes of complexity in today’s business climate: interaction effects, strategic complexity, ecological complexity, and reflexive complexity. Description: Presentation by Associate Professor David Earnest from Old Dominion University (U.S.A.) at the Agent-Based Modelling Intensive Course Wednesday Colloquium, held at The University of Sydney Business School in July 2011. This presentation gives an introduction to complexity, the types of complexity, and how agent-based modelling can be used to understand complex systems. Wed, 06 Jul 2011 00:00:00 GMT http://hdl.handle.net/2123/7788 2011-07-06T00:00:00Z http://hdl.handle.net/2123/7770 Title: BNAS: Towards a Business Nework ABM System Authors: Young, Louise Abstract: Business relations and networks play a central role in the way business and economic systems are organised and function. But their dynamics and evolution have received little research attention, with research focusing more on comparative static and cross-section surveys. In order to develop appropriate research-based management and policy advice we need a better understanding of how business relations and networks form and evolve. One way to do this is through the development of of agent-based simulation models of business relations and networks that allow researchers to systematically explore the nature and impact of different factors on structure, behaviour and performance that are beyond traditional closed-form mathematical solution and which would be impossible in the field. Description: Presentation by Professor Louise Young of the University of Western Sydney at the Agent-Based Modelling Intensive Course Wednesday Colloquium, held at the University of Sydney Business School in July 2011. Contributors to research also include Fabian Held, Professor Ian Wilkinson, Professor Robert Marks and Professor Terry Bossomaier. In this presentation, Louise Young provides an introduction to business systems and networks, and provides explanation for why agent-based modelling and simulation will greatly assist the research into these systems. Areas covered include the dynamics and evolution of business networks, existing models of the development of business systems and networks, viewing business relations and networks as complex adaptive systems, and an introduction to BNAS: the Business Network ABM System. Wed, 06 Jul 2011 00:00:00 GMT http://hdl.handle.net/2123/7770 2011-07-06T00:00:00Z http://hdl.handle.net/2123/7733 Title: "It's All About Me" - Anthropomorphised - Part 1 Authors: Debenham, John Abstract: Present electronic markets, which focus on the backend transaction processing system and catalogue-style interaction, do not provide the perception that there are people behind them. This research approaches believability from an indivisual stance – “It’s all about me”. Every player and the environment should adjust towards that person. We develop the concept of an immersive normative multiagent system that delivers electronic market technology that supports believability. Description: Presentation by Professor John Debenham from the University of Technology, Sydney at the Agent-Based Modelling Intensive Course Wednesday Colloquium, held at The University of Sydney Business School in July 2011. Professor John Debenham takes us through his research collaboration with Professor Simeon Simoff on making models more reflective of real-world environments by making models more respectable and believable. This first part of the "It's All About Me" presentation looks at the theory side of the research, focusing on agent relationships and systems, whether Game Theory is relevant to making relationships believable, and the concepts of trust & respect in agent-based models. Wed, 06 Jul 2011 00:00:00 GMT http://hdl.handle.net/2123/7733 2011-07-06T00:00:00Z http://hdl.handle.net/2123/7732 Title: Choosing the Right Model Authors: Marks, Robert Abstract: Building Agent-Based Models requires assumptions (as does building any model).The advantage of ABM is the assumptions can be realistic, rather than made in order to solve a calculus-based problem. But what does "realistic" mean? I shall outline the issues of verification of a model (is it working as the modeller wants?) and validation of a model (how close is the model behaviour to some measures of reality?), after talking about the general issue of choosing models. Description: Presentation by Professor Robert Marks from the University of Melbourne and the Australian Graduate School of Management (UNSW) at the Agent-Based Modelling Intensive Course Wednesday Colloquium, held at The University of Sydney Business School in July 2011. This presentation discusses the assumptions that are a part of agent-based models and what this means for model validation, with examples from his own work. Wed, 06 Jul 2011 00:00:00 GMT http://hdl.handle.net/2123/7732 2011-07-06T00:00:00Z http://hdl.handle.net/2123/7226 Title: Tweet Talking - Exploring The Nature Of Microblogging at Capgemini Yammer Authors: Riemer, Kai; Diederich, Stephan; Richter, Alexander; Scifleet, Paul Abstract: Microblogging has gained widespread popularity with the emergence of Twitter. While Twitter has shaped public perceptions of Microblogging, organisations have begun experimenting with Microblogging ‘behind the firewall’, for facilitating communication and group processes. However, research is still in its infancy. In this paper we explore how Yammer has been adopted within Capgemini, a large, globally operating consultancy business. In contrast to existing findings on Twitter usage, we find that Enterprise Microblogging (EMB) in our case is a predominantly conversational medium, where people interact and discuss, rather than only inform others about themselves (Twitter) or about their immediate task/team context, as has also been described in other EMB cases. We discuss our results in light of the particular organisational context of Capgemini and the general open nature of communication technologies. We conclude that appropriation of Enterprise Microblogging happens largely in accordance with the organisational context in which it is set. Microblogging is a diverse phenomenon, which is not sufficiently defined via the underlying technology characteristics. Tue, 15 Mar 2011 00:00:00 GMT http://hdl.handle.net/2123/7226 2011-03-15T00:00:00Z http://hdl.handle.net/2123/7225 Title: Analysis of Current Grounded Theory Method Practices Authors: Raduescu, Corina; Vessey, Iris Abstract: Use of the grounded theory research method (GTM) is increasing across many fields of inquiry. Understanding the GTM and how to apply it is therefore a key task for researchers examining the possibility of using these methods in their research. Since its introduction by Glaser and Strauss in 1967, GTM has evolved into two major streams, and there has been a continual debate about the choice between them and their applicability. Examination of the extant literature reveals significant problems in applying the GTM. In this paper, we take a first step in the quest for identifying the current GTM practices and providing more effective procedures for conducting GTM research. To achieve our goal we started by analysing and identifying a number of difficulties encountered by researchers who have used GTM. We then examined and presented the ways in which they have resolved and addressed the problems. Tue, 15 Mar 2011 00:00:00 GMT http://hdl.handle.net/2123/7225 2011-03-15T00:00:00Z http://hdl.handle.net/2123/7117 Title: Developing an Information Capability. Developing Practioner Survey & Focus Group Findings Authors: Hardy, Catherine; Williams, Susan Fri, 01 Jan 2010 00:00:00 GMT http://hdl.handle.net/2123/7117 2010-01-01T00:00:00Z http://hdl.handle.net/2123/7065 Title: Labour Management and Firm Financing: Explaining Workplace Change in CUB's Breweries, 1991-2003 Authors: Westcott, Mark Abstract: The nature of the relationship between company financing and labour management has become increasingly analysed in recent years. Companies in countries characterised by large and relatively liberal capital markets are generally seen to favour market mediated relationships with workers, customers, suppliers and financiers. Moreover, management in these companies are more likely to prioritise the interests of financiers over other parties. Together these observations create a relatively bleak outlook for labour. While there is a growing literature around national systems of corporate governance and models of corporate financing, the extent to which these aggregated tendencies impact on individual company and enterprise level operations remains relatively untested. Some scholars have argued that management retain a capacity to make strategic choices about labour management and that indeed the extent to which companies are sensitive to capital market pressures will vary greatly. This paper examines the labour management choices made by Fosters, a large Australian multinational company, with respect to its brewery workforce, specifically at its Kent brewery in New South Wales. Fosters management elected to develop a partnership arrangement with its unionised workforce in order to introduce a substantial workplace change program. This change program combined both a focus on cost cutting and skill development. Fosters introduced this program at a time of corporate crisis with the company heavily indebted and unprofitable. That such a program was introduced in this particular context reinforces the notion that strategic choices remain open to management in terms of their approach to labour management. The tightness in financial markets was important for encouraging management to introduce operational reforms at the brewery. However, these conditions did not determine the pursuit of a partnership approach to change. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7065 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7064 Title: Electronic Business and Legal Effect of Electronic Contracts in Australia Authors: Tasneem, Farisa Abstract: Electronic commerce has transformed the manner of conducting commercial transactions which pose challenges to both consumers and business. Attempts are being made to regulate electronic contracts both at the national and international level. This article analyses the manner in which international developments are taking place by organisations such as the United Nations Commission on International Trade Law (UNCITRAL), Organisation for European Economic Co-operation (OECD), International Chamber of Commerce (ICC) from the 1980s. The research also analyses the impact of Electronic Transaction Legislation of Australia, Trade Practices Act (1974) and the proposed new amendments. The research highlights the extent to which issues are resolved. Field of Research: Electronic commerce law, electronic business, internet law and international legal developments. Research Method and Methodology: Empirical research was employed. Document analysis and study of legislation was performed in relation to internet based transactions. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7064 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7063 Title: Gender Roles in Ming Dynasty China: The Water Dragon Classic Authors: Paton, Michael Abstract: This paper considers the relationship between spatiality, emotions and gender from the theoretical perspective of traditional Chinese thought in the early art/science of fengshui (wind and water). The discussion is based on translations of the seminal Form School fengshui text: Mi chuan shuilong jing (the Secretly Passed down Water Dragon Classic), compiled by the renowned scholar Jiang Pingjie in the late Ming dynasty (circa. 1600 CE). The discussion concludes with what light these traditional concepts might shed on present day gender roles and business in China, specifically in relation to the oversimplification of the Confucian basis of Chinese culture in the business literature. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7063 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7062 Title: An Historical Overview of New Zealand SME Policy, 1978-2008 Authors: Jurado, Tanya Abstract: This paper is an historical enquiry into small and medium enterprise (SME) policy development in New Zealand during the years 1978 to 2008. Following the publication of the Bolton Report (1971) in the United Kingdom and the findings of a United States study on the contribution that SMEs make to the generation of employment, governments in OECD countries, including in New Zealand, paid increasing attention to the development of this important sector of the economy. There are now numerous studies which have looked into the economic contribution that SMEs make, and a number of papers about government policies might be developed to best assist the growth of SMEs. There has not, however, been a historical account of the circumstances under which SME policy has developed, nor have the distinctive and identifiable features of SME policy-making been understood within the historical context of a particular country. This study suggests that there have been three distinctive phases in the development of New Zealand government policy towards SMEs. During the 1978 to 1984 period, SME policy was a component of regional policy initiatives within an overall protectionist economic policy environment. In the 1984 to 1998 period there was little targeted assistance, and government policy concentrated on eliminating much of the protectionism that had dominated the New Zealand economy previously. The final period suggested by this study spans the years 1998 to 2008 where the government made more concerted efforts to develop SME policy by using a range of policy tools that included private-public partnerships for the delivery of policy. Policy makers in this latter period were also firmly aware that the SME sector is a complex one and put their efforts into the development of specific and targeted policies directed at SMEs. This study found that the historical context in which SME policy was developed played an important role in the approach taken by policy makers. It provides insights into the impacts of policy implementation and builds on the existing knowledge-base from which policy makers, SME owner-managers and academic researchers can draw when they consider future SME policy development. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7062 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7061 Title: New Prospectors: The Formation and Early Years of the Scottish Australian Mining Company in Newcastle, NSW, 1850-70 Authors: Knowles, Harry Abstract: Following the end of the Australian Agricultural Company’s monopoly in the coal-mining region of Newcastle, NSW, in the late 1840s, the Scottish Australian Investment Company (SAIC), headquartered in London, was amongst the first of several firms to seek mining opportunities in the Hunter region of NSW. As part of a broader project evaluating social and economic influences of the Northumberland/Durham coal mining regions on the early development of the Newcastle coalfields, this paper presents an overview of the role of individuals in the events and decisions surrounding formation and early successes of the Scottish Australian Mining Company which went on to become one of the leading coal producers in the region in the second half of the nineteenth century. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7061 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7060 Title: An Early NSW Government Attempt at Solving the Unemployed Problem: The Casual Labour Board, 1887-88 Authors: Kerr, Melissa Abstract: Throughout the literature little appears to be known about the early Government attempts to provide public employment services in Australia. Subsequently, there appears to be much conjecture over when and where these first occurred, also in what form they took, and who influenced their design. This paper examines the first attempt to provide a public employment service in New South Wales. While both Coghlan and Reeves have claimed that the Government Labour Bureau was the earliest public employment service in New South Wales, it had a predecessor: the Casual Labour Board established on 2 May 1887 later terminated on 29 December 1888. Faced with high unemployment, unemployed deputations and industrial unrest, Premier Parkes established the Casual Labour Board in an attempt to undertake significant labour market reform. Parkes envisioned a system that would assist and support capital development by facilitating the recruitment process, whilst also alleviating the recurring politically sensitive problem of unemployment. During its 18 months of operations the Casual Labour Board was largely successful in placing nearly 8,000 men in employment, of which approximately 30 per cent were placed in private employment. In an economy with a limited industrial base, this was quite an achievement and demonstrates a genuine need for an employment service. However, the Casual Labour Board was largely born out of political necessity and failed to receive adequate long-term support. Ultimately it was undermined by a number of politically sensitive factors: unsustainable costs associated with the Government relief works; political patronage; and allegations of corruption and fraud. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7060 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7059 Title: ‘The war is a money making show’: Working-Class Attitudes to World War II and Australian Nationalism Authors: Jenvey, Lian Abstract: This paper will address the conference themes of ‘class, power and social structure’ through examining industrial and ideological conflict during World War II. The paper will also address the theme of ‘class and culture’ through an examination of working-class cultural expression as a means of resistance to the government’s wartime offensive. What is overlooked in most histories of World War II is the working-class experience of the war and their understanding of nationalism, particularly as nationalism was cynically exploited by the government to undermine working-class identity and solidarity. The paper will investigate the experience of one of the most militant sections of the Australian working class: the Miners. Primary source material such as the Miners’ journal Common Cause and union records reveal opposition to the war and a much more ambiguous attitude to the national sentiment used to justify Australia’s involvement. The Miners provide an interesting case study as the union was led by the Communist Party. Therefore the union leadership initially opposed to the war then became enthusiastic supporters when Russia entered the war on the allied side. It is clear that the Miners’ union leadership found it difficult to convince the rank and file to support the war. The paper will focus upon rank and file attitudes to the war and Australian nationalism particularly during times of industrial unrest. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7059 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7058 Title: Corporate Governance as a Movement Authors: Mees, Bernard Description: Peer reviewed Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7058 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7057 Title: Understanding the Internationalisation of Family Businesses: Lessons from the History of Chinese and Lebanese Diaspora Authors: Gupta, Vipin; Graves, Chris; Thomas, Jill Abstract: The emerging work on the internationalisation of the family businesses suggests that family businesses in general tend have low levels of internationalisation when compared to their non-family counterparts. Here, we review the Diaspora internationalisation history of Chinese family businesses in Southeast Asia, and of Lebanese family businesses in West Africa. The review highlights the interplay with the local varieties of capitalism, and underscores four factors in successful overseas market entry and growth of the overseas family businesses (OFBs): business strategic intent, family stewardship, direct and institution-mediating community sponsorship, and gender-centred leadership. We offer a schematic mapping of these four factors on to the four systems of family business – family, business, ownership, and gender, using Parson’s structural functionalism theory and AGIL schema Implications for further research and for the family business practitioners are discussed. Description: Peer reviewed Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7057 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7056 Title: A History of the Infringement Notice Mechanism and its Use in the Enforcement of Australia’s Continuous Disclosure Regime Authors: Di Lernia, Cary Abstract: In modern markets the need for the timely disclosure of detailed, accurate financial information is born of the radical separation of management and control apparent in the majority of large modern organisations. Inadequate disclosure of material information concerning the future and fortunes of listed companies can detract from the integrity of the market and its ability to provide a fair and efficient mechanism for participation in securities markets, while also impacting upon the perceived credibility of financial markets and the corporations constituting them. Reduced confidence in financial markets can in turn have longer-term flow on effects which can be felt throughout the economy. It follows that the effective operation of Australia's continuous disclosure regime is of great consequence in the Australian economic, political and social landscape. This paper details the history of the regime, the reasons for its introduction, and features of its recent enforcement by the Australian Securities and Investments Commission (ASIC). It uses this history to assess whether the most recently created and most often employed enforcement tool, the infringement notice mechanism, is achieving the goals set for it at its inception. Description: Peer reviewed Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7056 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7055 Title: Four Work-Ins by Australian Journalists, 1944-80 Authors: Russell, Samuel Abstract: During industrial disputes with employers between 1944 and 1980 the Australian Journalist's Association occasionally turned to the tactic of the work-in, producing wild cat newspapers during strikes in Sydney. These newspapers (The News, and The Clarion) exemplified problematic elements of the work-in as a working-class strategy. While single incident studies of the work-in have been conducted in Australia, the Australian Journalist Association work-ins present a time series of struggle. This time series allows for a broader evaluation of the radical content of the work-in and indicates that the tactic can become systematised, less radical, and less participatory when not connected to a broader generation of workplace radical behaviour by workers. In short: the work-in, much like the strike or go slow, can become a tame cat tactic – it is not inherently transgressive or opposed to capitalist production. Expectedly, the first work-ins were more radical in scope, presenting a newspaper which fully duplicated the commodity produced under capitalist control and in some ways exceeded the scope presented by capitalist organised journalism in both a material and a cultural sense. However, this radical economic potential dissipated by the end of the time series of work-ins. Instead of providing an alternative commodity fit for market, the tactic produced propaganda pieces aimed primarily at the members of the community who would be predisposed to favour the journalist's case. The 1980s Clarion was not a daily newspaper of news, sport, racing, women's interest, classifieds, and general opinion. This change will be explained in terms of human causes such as skills loss, production process causes such as computerisation and wire services, and broader social causes such as the changing role of the newspaper in Australian society. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7055 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7054 Title: Legal Origins of Fair Value Accounting Authors: Donleavy, Gabriel Abstract: The paper seeks answers to the question how FASB was able to introduce the term ‘fair value’ into accounting standards and wider accounting discourse as frictionlessly as it did. Leading relevant court cases in the USA and UK in the previous two centuries had already enabled this to happen, but the judicial rationales for that term were significantly different from the current rationales in FASB and IASB. The paper traces the evolution of the notion from its origins in the ‘just price’ to its court appearances in the early stages of the Industrial Revolution through to its established meaning by the end of last century. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7054 2010-12-01T00:00:00Z http://hdl.handle.net/2123/7053 Title: The Origins and Early Years of the Barossa Community Store, 1944-65 Authors: Balnave, Nikola; Patmore, Greg Abstract: The Barossa Community Store in Nuriootpa is Australia’s largest and most successful surviving Rochdale co-operative store. It is located in the Barossa Valley, the centre of one of Australia’s major wine growing regions. This paper explores the origins of the store against the background of the German heritage of the Valley and the community movement that developed in the town and attracted both national and international interest. The early years of the store, which arose from the result of the mutualisation of a successful non-co-operative retailer, saw tensions between leaders of the co-operative and the broader community over whether surpluses should be retained by the co-operative or ploughed back into the community. The co-operative saw need to raise capital to grow by seeking additional sources of capital beyond members’ shares. Management also had to face the challenge of changing retail practices, which gradually saw the shift to self-service and the opening of its first supermarket under the Co-operative brand in December 1965. Description: Not refereed. Abstract only. Wed, 01 Dec 2010 00:00:00 GMT http://hdl.handle.net/2123/7053 2010-12-01T00:00:00Z