Browsing Honours Theses and Postgraduate Coursework by author "Discipline of Finance"
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A deconstruction of Cox’s proportional hazards model and an inquiry into its ability to predict the outcome of Chapter 11 bankruptcy proceedings
Hoi Fung Ng, CalvinPublished 2008-02-21Set against the backdrop of Chapter 11 proceedings in the United States, a specification of Cox’s proportional hazards model proposed by Partington, Stevenson, Russel and Torbey (2001) was examined for its stability over ...Open AccessThesis, Honours -
Development of a Forecasting Model for Hedge Fund Failure: A Survival Analysis Approach
Ng, Michael Siu FungPublished 2009-02-26Well-known biases associated with hedge fund data have created difficulties in analysing the factors behind the failure of hedge funds. This study was interested in quantifying the factors influencing hedge fund failure ...Open AccessThesis, Honours -
Does market depth concentration matter? Evidence from the Australian Stock Exchange
Avila, Kristoffer KevinPublished 2009-02-26In considering the behaviour of market participants, this paper introduces a new variable into the model for the determinants of institutional trading costs. By using an ex-ante measure of the concentration in the opposite-side ...Open AccessThesis, Honours -
The Dynamics of Bid and Ask Quotes Set by a Heterogeneously Informed Market Maker
Dwyer, Gregory JamesPublished 2009-02-26This paper studies the effects superiorly informed market makers have on the price formation process. Two models are developed in which the market maker receives some informative signal. In one version, the market maker ...Open AccessThesis, Honours -
Effects on Fragmentation and Market Quality When ASX Moves Towards a More Anonymous Market
Teo Shi Ni, CeciliaPublished 2009-02-26This thesis addresses the question of whether the anonymization of broker identifiers has an effect on market quality through the natural experiment on the Australian Securities Exchange. We show that the removal of broker ...Open AccessThesis, Honours -
How much volume will an illegal insider trade? Evidence from options markets
MARAS, PETERPublished 2009-02-26Modelling the volume traded by illegal inside traders is a fairly new area of research. Previous research into insider trading has focused not a comprehensive study on the determinants of volume, but empirical and theoretical ...Open AccessThesis, Honours -
Illegal Insider Trading and its Differential Impact on Liquidity on the CBOE, NYSE, and NASDAQ
Rahman, Rizwan TanvirPublished 2009-02-26This study examines the differential impact of illegal insider trading on liquidity in the alternative market structures of the NYSE (specialist), NASDAQ (dealer), and the CBOE (hybrid). Using US Securities and Exchange ...Open AccessThesis, Honours -
THE IMPACT OF BLOCKS TRADES IN THE UNDERLYING MARKET ON OPTION PRICES: EVIDENCE FROM THE ASX
MENDEZ, MELISSAPublished 2009-02-26This dissertation examines the impact a block trade in the underlying stock market has on options listed on that stock in the options market. There is significant debate in previous literature in regards to which market ...Open AccessThesis, Honours -
The Investment Value of Australian Security Analyst Recommendations: An Application of the Black-Litterman Asset Allocation Model
He, Peng WilliamPublished 2009-02-26The study empirically examines the investment value of analyst recommendations on constituent stocks of the S&P/ASX 50 index. For the period from 30 June 1997 to 30 October 2007, we find that stocks with favourable consensus ...Open AccessThesis, Honours -
Order Placement and Performance: A Comparative Analysis of Institutional and Retail Traders
Alcock, EmmaPublished 2009-02-26This thesis seeks to identify systematic differences in the order placement of institutional and retail traders in the Australian market. With institutions exhibiting a greater awareness of market conditions, this analysis ...Open AccessThesis, Honours -
Pairs Trading: A Cointegration Approach
Schmidt, Arlen DavidPublished 2009-02-26This study uses the Johansen test for cointegration to select trading pairs for use within a pairs trading framework. A long-run equilibrium price relationship is then estimated for the identified trading pairs, and the ...Open AccessThesis, Honours -
Performance of Active Extension Strategies in the Australian Equities Market
Turner, JamesPublished 2009-02-26This dissertation examines the performance of active extension strategies, also known as ‘130/30’, in the Australian equities market. This strategy involves introducing short positions to 30% of the value of a fund while ...Open AccessThesis, Honours -
STATISTICAL AND ECONOMIC TESTS OF EFFICIENCY IN THE ENGLISH PREMIER LEAGUE SOCCER BETTING MARKET
BRYCKI, JONATHONPublished 2009-02-26This thesis investigates the weak and semi-strong form efficiency of the fixed odds English Premier League soccer betting market between 2002-03 and 2007-08. Recent structural changes – including a reduction in taxes, and ...Open AccessThesis, Honours
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