Australian Journal of Management articles from June 1998

Australian Journal of Management archives from June 1998

Time-varying beta risk of Australian industry portfolios: a comparison of modelling techniques.
June 1, 1998... Keywords: TIME-VARYING BETA; GARCH; KALMAN FILTER. 1. Introduction Systematic risk for any asset may be estimated in the form of market-model-generated point estimates of beta. Such betas are assumed to be time invariant, but this...

Research method and the long-run performance of acquiring firms.
June 1, 1998... Keywords: TAKEOVERS; ACQUIRING FIRMS; LONG-RUN PERFORMANCE. 1. Introduction It is well established in the event-study literature that apparently innocuous variations in sample characteristics are associated with systematic...

Evidence of price change volatility induced by the number and proportion of orders of a given size.
June 1, 1998... Keywords: VOLATILITY; ORDER SIZE; ORDER NUMBER; ORDERS v. TRADES. 1. Introduction In recent years, academic research has concentrated heavily on the relationship between order flow and price change or return volatility. A better...

The pricing of Australian index futures contracts with taxes and transaction costs.
June 1, 1998... Keywords: ARBITRAGE; SPI FUTURES; TRANSACTION COSTS. 1. Introduction In a frictionless market, arbitrage ensures that the price of a share price index (SPI) futures contract is equal to the accumulated value of the spot price less...

Contracts and electricity pool prices.
June 1, 1998... Keywords: ELECTRICITY POOLS; CONTRACTS; STRATEGIC EFFECTS; ENTRY DETERRENCE. 1. Introduction In recent years, the electricity sector has been transformed from a vertically integrated monopoly to a disintegrated one that has...

The application of mathematical programming techniques to financial statement analysis: Australian gold production and exploration.
June 1, 1998... Keywords: DATA ENVELOPMENT ANALYSIS; FINANCIAL RATIOS; TECHNICAL EFFICIENCY; SCALE EFFICIENCY. 1. Introduction The definition, measurement and improvement of organisational performance, and the provision of any allied information, is...

Predicting earnings growth using E/P ratios: Australian evidence. (earnings-to-price)
June 1, 1998... Keywords: E/P RATIOS; FORECASTING EARNINGS CHANGES. 1. Introduction This paper uses earnings-to-price ratios as the market's implicit forecast of future earnings changes. Conditioning on E/P ratios, we examine whether or not earnings...

Management Redeemed: Debunking the Fads that Undermine Corporate Performance.
June 1, 1998... Management Redeemed: Debunking the Fads that Undermine Corporate Performance by Frederick G. Hilmer and Lex Donaldson, 1996 (Free Press, New York, NY) $39.95, hardback, pp. xvi + 223. This is a book that sets out to `debunk the fads that...