Honours Theses and Postgraduate Coursework: Recent submissions
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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 ...Thesis, Honours -
Pairs Trading: A Cointegration Approach
Published 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 ...Thesis, Honours -
Illegal Insider Trading and its Differential Impact on Liquidity on the CBOE, NYSE, and NASDAQ
Published 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 ...Thesis, Honours -
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 ...Thesis, Honours -
STATISTICAL AND ECONOMIC TESTS OF EFFICIENCY IN THE ENGLISH PREMIER LEAGUE SOCCER BETTING MARKET
Published 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 ...Thesis, Honours