Honours Theses and Postgraduate Coursework: Recent submissions
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The Investment Value of Australian Security Analyst Recommendations: An Application of the Black-Litterman Asset Allocation Model
Published 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 -
The Disposition Effect and the Ability of Investors to Learn
Published 2009-02-26This paper provides an in depth analysis of investors’ reluctance to crystallise losses and propensity to realise gains, a behavioural bias dubbed the disposition effect. We examine a comprehensive data set comprised of ...Open AccessThesis -
Development of a Forecasting Model for Hedge Fund Failure: A Survival Analysis Approach
Published 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 -
The Dynamics of Bid and Ask Quotes Set by a Heterogeneously Informed Market Maker
Published 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 -
Effects on Fragmentation and Market Quality When ASX Moves Towards a More Anonymous Market
Published 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