Leonard Chong, Michael Drew and Madhu Veeraraghavan
This study examines the relationship between Australia's stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using…
Abstract
This study examines the relationship between Australia's stock market and the five largest international markets for the period 1991 through 2001. Preliminary findings, using correlation statistics, indicated potential benefits to international diversification for the Australian investor. Further analysis, conducted in the VAR framework using the Johansen cointegration method, found that the Australian market has short and long run linkages with the United States, while tests with other markets found little evidence of interdependence. Moreover, only the US market was found to Granger‐cause the Australian market.
Michael E. Drew, Tony Naughton and Madhu Veeraragavan
In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We…
Abstract
In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multi factor model findings can be explained by the turn of the year effect. Our results show that firm size, book to market equity and idiosyncratic volatility are priced risk factors in addition to the theoretically well specified market factor. As far as the turn of the year effect is concerned we reject the claim that the findings are driven by seasonal factors.
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Jacqueline M. Drew and Michael E. Drew
The purpose of this paper is to explore the clean development mechanism (CDM) which creates carbon credits from emission abatement projects in developing economies. The paper aims…
Abstract
Purpose
The purpose of this paper is to explore the clean development mechanism (CDM) which creates carbon credits from emission abatement projects in developing economies. The paper aims to examine the operation of the CDM with specific reference to fraud vulnerabilities regarding the additionality of a project. An examination of the process of establishment, certification and verification of additionality (confirmation that emissions post‐implementation of the CDM project are lower than those that would have occurred under the most plausible alternative scenario) is used to highlight the need for particular vigilance in respect to sustaining and improving the integrity of future market‐based mechanisms post‐Kyoto.
Design/methodology/approach
The study takes a case study approach, examining the CDM project cycle and associated key entities.
Findings
The study posits that the processes associated with establishing and verifying additionality of a project are potentially key areas of systemic weakness that must be addressed. This case study explores the design features of the CDM that may afford greater opportunities for fraudulent or deceptive practices.
Originality/value
The CDM takes a project‐by‐project approach to establishment, verification and certification of additionality. Whilst conceptually this design may be appropriate from an operational perspective, it potentially provides opportunities for fraudulent outcomes. The individualised approach is, by its very nature, highly resource‐intensive and inherently difficult to verify.
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Robert J. Bianchi, Michael E. Drew and Adam N. Walk
This study seeks to measure the level of responsible investment (RI) disclosure of the world's largest pension funds.
Abstract
Purpose
This study seeks to measure the level of responsible investment (RI) disclosure of the world's largest pension funds.
Design/methodology/approach
The public disclosure of environmental, social and governance factors by the world's largest pension funds reflect their genuine commitment to this new investment paradigm. The UNPRI criterion is employed to measure the level of public disclosure. One hour was allocated to every asset owner's web site to search and collect public information.
Findings
Overall, the level of public disclosure of RI activities is not prolific. The study is negatively influenced by North American pension funds who dominate this sample. Public disclosure practices are positive for European funds. The size of funds under management positively influences the public disclosure and reflects their leadership role in the industry.
Research limitations/implications
Limitations include: the largest pension funds are dominated by North American funds and reflect the impact of fund size. The results are from the largest pension funds and may not be representative of the entire industry; the positive findings from European funds reflect a material subset of the global asset owners; and, we do not engage directly with the funds in question. Measurements are sourced from public disclosure.
Originality/value
The lack of public disclosure of RI by North American funds suggests that these institutions do not believe that it is important to investors. It suggests that these asset owners have not yet been exposed to the same influences as European funds. Given that North American funds together own substantial interests in listed corporations, they are much more important to influence than corporations.
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Michael E. Drew, Mirela Malin, Tony Naughton and Madhu Veeraraghavan
Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to…
Abstract
Purpose
Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and whether the findings can be explained by the turn of the year effect.
Design/methodology/design
Monthly stock returns and market values of all listed firms in Germany and UK covering the period 1991‐2001 from Datastream are used as the basis of the evaluation.
Findings
The paper finds that the three‐factor model provides a better description of expected returns than the Capital Asset Pricing Model (CAPM). That is, it is found that firm size and idiosyncratic volatility are related to security returns. In addition, it is noted that the findings are robust throughout the sample period
Originality/value
The paper shows that the CAPM beta alone is not sufficient to explain the variation in stock returns.
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Michael E. Drew, Madhu Veeraraghavan and Min Ye
The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian…
Abstract
Purpose
The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange.
Design/methodology/approach
Following the Lee and Swaminathan's approach, portfolios on past returns and past trading volume is constructed. In this approach, all stocks are ranked independently on the basis of past returns and past trading volume. The stocks are then assigned to one of five portfolios based on past returns and one of three portfolios based on trading volume over the same period.
Findings
A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the magnitude and persistence of price momentum.
Research limitations/implications
Substantial momentum observed in monthly stock returns has investment implications. Abnormal returns vary from 0.3 to 7 per cent per month in the intermediate horizon.
Originality/value
This study provides an out of sample evidence by examining the relationship between “trading volume” (measured by the turnover ratio) and “momentum” strategies in an Australian setting.
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Alexandr Akimov, Robert J. Bianchi and Michael E. Drew
The purpose of this paper is to comprehensively review one example of academic-industry cooperation, namely, the partnership arrangements between the CFA Institute and…
Abstract
Purpose
The purpose of this paper is to comprehensively review one example of academic-industry cooperation, namely, the partnership arrangements between the CFA Institute and universities around the globe. There is a scarcity of literature relating to academic-industry cooperation between the finance discipline and business.
Design/methodology/approach
Relevant data were hand-collected and a comprehensive analysis of individual CFA partner programs was undertaken, including the geographical distribution of the programs and program characteristics and ranking of partners programs; the motivation for and approaches of universities toward the CFA Institute partnership and program design are identified. The general findings are validated with a detailed analysis of the CFA partner postgraduate programs offered in Australian universities.
Findings
The research finds that the primary focus of cooperation between the CFA Institute and universities is the adoption of practitioner-relevant academic curriculum in universities, which should assist in setting industry educational standards. The authors observed a great diversity of partner institutions and programs around the globe, their rankings and their approach to cooperation with the CFA Institute thanks to the flexibility of their partnership arrangements. This explains the rapid growth of universities seeking formal cooperation with the CFA Institute. However, this growth has created challenges for the CFA Institute in managing and delivering value in their partnership arrangements.
Research limitations/implications
Due to data limitations, the research does not provide an empirical analysis of factors driving enrollments in Australian postgraduate finance programs.
Practical implications
The paper serves as a guide to universities interested in engaging in cooperation with the CFA Institute. This study is also useful for the professional bodies that evaluate various models of cooperation with educational institutions.
Originality/value
The paper is the first, to the authors' knowledge, to examine the practical aspects of cooperation between universities and a professional body in the finance discipline. Moreover, it is the first to evaluate perceived benefits and problems universities may experience by entering into a popular CFA Institute Partner Program.
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This purpose of this paper is to outline how a combination of different psychological models may inform formulation and treatment, and the benefits for the client and the…
Abstract
Purpose
This purpose of this paper is to outline how a combination of different psychological models may inform formulation and treatment, and the benefits for the client and the therapist of working in this way.
Design/methodology/approach
This is a single case study, describing an integrative approach in which psychodynamic ideas were used to inform cognitive-behavioural treatment.
Findings
The integrated approach reported here not only allowed the client to develop his skills in problem solving and taking different perspectives, but also to take a more active role in decisions about his life.
Practical implications
Integrative approaches may be of particular use for individuals who have not shown a full response to interventions based on a single theoretical model. Malan's triangles of insight provide a clear structure to psychodynamic formulation that is easily accessible to emerging psychodynamic practitioners.
Originality/value
Little previous research has described integrative approaches for psychological difficulties in people with an intellectual disability. The approach outlined in this study describes reasons for using an integrative approach, provides one example of how different models may be combined in practice, and describes ways in which the integrative approach enriched the intervention.
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In the last four years, since Volume I of this Bibliography first appeared, there has been an explosion of literature in all the main functional areas of business. This wealth of…
Abstract
In the last four years, since Volume I of this Bibliography first appeared, there has been an explosion of literature in all the main functional areas of business. This wealth of material poses problems for the researcher in management studies — and, of course, for the librarian: uncovering what has been written in any one area is not an easy task. This volume aims to help the librarian and the researcher overcome some of the immediate problems of identification of material. It is an annotated bibliography of management, drawing on the wide variety of literature produced by MCB University Press. Over the last four years, MCB University Press has produced an extensive range of books and serial publications covering most of the established and many of the developing areas of management. This volume, in conjunction with Volume I, provides a guide to all the material published so far.