Working Papers

From Melbourne - Centre in Finance
Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia..
Contact information at EDIRC.
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98-5: Hedging Operating Exposure Financially: The Effect of the Abandonment Option

T. Aabo

98-4: A Multi-Country of Power ARCH Models and National Stock Market Returns

M. McKenzie, H. Michell, Robert Brooks and Robert Faff

98-3: Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange

M. McKenzie, H. Michell, Robert Brooks and Robert Faff

98-2: Generalized Asymmetric Power ARCH Modeling of Exchange Rate Volatility

M. McKenzie and H. Michell

98-1: Common Information in a Common Market? Variance Changes in European Capital Markets

A. Alford, G. Meric and I. Meric

97-10: Forecasting Australian Exchange Rate Volatility: A Comparative Study of Alternate Modelling Techniques and the Impact of Power Transformations

M.D. McKenzie

97-9: Persistence in Fund Portfolio Performance and the Information Content of Portfolio Performance History: An Examination of Rollover Funds

T.A. Hallahan

97-8: Numeraire Effects in International Portfolio Investment

A. Alford

97-7: Modelling the Time-Varying Correlations Between National Stock Market Returns

V. Ragunathan and H. Mitchell

97-6: Missing Values in Vector Time Series

H. Mitchell

97-5: Using Simulations in the Training of Finance Students: A Tool to Enhance Team Building, Communication and the Use of Information in Real Time

S Campbell

97-4: An Examination of the Effects of Major Political Change on Stock Market Volatility: The South African Experience

Robert Brooks, S Davidson and Robert Faff

97-3: Patterns of Australian State and Local Government Finance

Brian Dollery, M Stewart and Andrew Worthington

97-2: The Effects of Financial Deregulation on Integration: An Australian Perspective

V Ragunathan

97-1: The Right To Host The Olympic Games Should Be Auctioned To The Highest Bidder

M Stewart and C-L Wu

96-10: Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period

Robert Faff and Robert Brooks

96-9: The Stability of ARCH Models Across Australian Financial Markets

J. Lee and Robert Brooks

96-8: The Impact of the Return Interval on The estimation of Systematic Risk in Australia

T. Jesev and T. Brailsford

96-7: What's in a Name?: Evidence On Corporate Name Changes from the Australian Capital Market

T. Jesev and A. Peker

96-6: The of Consumer demand Systems to Evaluate the Determinants of Australian State and Local Government Expenditure

M. Stewart

96-5: Forecasting the S&P500: A Disequilibrium Indicator

S. Davidson and S. Meyer

96-4: Empirical Tests of Agency theory in South Africa

S. Davidson

96-3: Access to Sino-Australian Joint Venture

B. Bannister and H. Zhang

96-2: Weekends in Malaysia

S. Davidson and A. Peker

96-1: Distortion Effects and Extreme Observations in Empirical Research: An Analysis of the Incremental Information Content of Cash Flows

C.R. Wilson

95-10: Capital Market Responses to Corporate Restructuring

G. Blount and S. Davidson

95-9: Autocorrelations, Returns and Australian Financial Futures

Robert Brooks and P. Michaelides

95-8: First and Seccond Order Inefficiency in Australian Currency Markets

G. Gannon

95-7: Derivative Secutrities: What do Directors Need to Know

K. Nathan

95-6: The Corporate Use of Debt: The Case of South Africa

S. Davidson and L. Rapp

95-5: Director Remuneration: Turnover, Profit and Agency

S. Davidson

95-4: Volatility Spillovers and Transmission Effects: Currency Futures and Equity Index Futures

G. Gannon

95-3: Financial Market Deregulation and Bank Risk: Testing for Beta Instability

Robert Brooks and Robert Faff

95-2: An Organizational Theory of Advertising

S. Davidson and D. Kapelianis

95-1: Volatility Persistence and Contemporaneous Effetcs

G. Gannon and L. Weatherill

94-11: The Unbiased Prediction Hypothesis in Futures Markets: A Varying Coefficient Approach

Robert Brooks

94-10: Testing Earnings Multiple Forecast Models in Singapore

Mohamed Ariff and S.P. Ong

94-9: An Overview of Sino-Australia Trade and Investment

Z. Haier and B. Sheean

94-8: A Cost-Push/Demand Deficiency Model of Non-Cyclical Unemployment

R. Braby

94-7: The Australian Fiscal Federal System of Government

M. Stewart

94-6: Some Observations about the Supply and Demand Model

C.L. Wu

94-5: A Multi-Country Study of Asia-Pacific Share Markets

N. Groenewold and Mohamed Ariff

94-4: Speculative Bubbles in the Stock Market of Singapore: An Empirical Study

M.L. Goh and T.Y. Tan

94-3: Beta Stability and Portfolio Formation

Robert Brooks, Robert Faff and J.H.H. Lee

94-2: Declining Quality of Education and Its Consequences for the Future

B. Bahrami

94-1: Simultaneous Volatility Effects in Index Futures

G.L. Gannon

93-4: Attendance Patterns at Victorian and South Australian Football Games

P. Fuller and M. Steward

93-3: The Robustness of Point Optional Testing for Rosenberg Random Regression Co-Efficients

Robert Brooks

93-2: Information Content of Volatility Models

J.H.H. Lee

93-1: Are Government Linked IPO's Underpriced?

Mohamed Ariff and Y.W. Chung