Research
Research Interests
Empirical tests of finance theory as it relates to the behaviour of capital markets; market microstructure, takeovers and mergers and initial public offers, anomalies in empirical capital market evidence; behavioural finance, performance of mutual funds.Current Research Working Papers
“Analysts Recommendations, Broker Execution Efficiency and Fund Performance”, with D. Gallagher and V. German“Credit Rating Changes and Market Reactions”, with P. Chan and V. Edwards
“A Market Microstructure Analysis of the Ex-Dividend Day Return”
“One Anomaly or Three: IPOs, SEOs and Share-for-Share Takeovers” with P. Brown and R. Da Silva Rosa and S. Owen, ARC Discovery Grant (in progress)
“Asymmetric Price Behaviour Surrounding Block Trades: A Market Microstructure Explanation”, with Alex Frino and Vito Mollica
“Investment Manager Skill in Small-Cap Equities” with C. Chen, C. Comerton-Forde and D. Gallagher
“Transaction Costs and Institutional Trading: An Examination of Small-cap Equity Funds” with Carole Comerton-Forde, David R. Gallagher, Jumana Nahhas
“Dividend Policy in the Absence of Taxes” with Khamis Al-Yahyaee and Toan Pham
“The Uncertainty of Non-accounting Information in Analysts’ Forecasts and Stock Return Volatility” with Steve Taylor and Yoawen Shan
“Foreign Investors’ Trading Disadvantage in U.S. Stock Markets: An Analysis by Country of Origin” with Jerry Parwada and Donald Winchester
Research Funding
Australian Research Council 1989/1991 $62,300“IPO Pricing in the Short and Long Run”
Australian Research Council 1992/1993 $66,568 with M. Aitken and P. Brown
“The Microstructure of the SEATS Trading System”
Australian Research Council 1994/1995/1996 $780,000 with M. Aitken, P. Brown and H. Y. Izan
ASX Collaborative Grant to study “Further Aspects of the Microstructure of the Australian Stock Exchange”
Australian Research Council Infrastructure Grant, $143,000
Microstructure Computing Equipment Support, University of Western Australia (P. Brown and H. Y. Izan) and the University of Sydney (M. Aitken and T. Walter)
Australian Research Council Large Grant, 1997/1998/1999 $149,000 with R. da Silva Rosa
“Corporate Performance following Takeover Bids: Sharemarket-Based and Accounting-Based Measures”
Australian Research Council 1997/1998/1999 $759,000 with M. Aitken, A. Frino, M. McCorry and P. Swan, SFE Collaborative Grant to study “The Microstructure of the Sydney Futures Exchange”
Australian Research Council 1998/1999/2000 $171,000 with S. Taylor and P. Brown “The Effect of the Enhanced (Continuous) Disclosure Regime on the Informational Efficiency of the Australian Equity Market”
Australian Research Council 2001/2002/2003 $132,000 with J. Muthuswamy and R. Bartels “Asynchronous Trading Induced Biases in Observed Asset Returns: Further Econometric Theory and Research Applications to Australian Capital Markets”
Co-Operative Research Center 2002/2003/2004/2005/2006/2007, $14,200,000 Australian Government funding offer for a team of researchers at the University of Sydney, The University of Technology, Sydney, the University of New South Wales and the University of Melbourne in conjunction with a variety of industry Partners including Computershare Ltd, ASX Limited, SFE Limited and Australian Centre of Global Finance for “Technology Enabled Capital Markets” see http://www.isr.gov.au/crc/index.html
Australian Research Council 2005/2006/2007, $300,000 with P. Brown and S.Owen “Do Some Firms Grow Too Quickly? An Investigation of the Common Factors in the Underperformance of IPOs, SEOs and Mergers”, ARC Discovery Grant
UNSW 2005, $30,000 with D. Gallagher “An Analysis of the Performance of Australian Active Small-Cap Managers”, Goldstar Grant
Australian Research Council, 2006/2007/2008 $230,000 with C. Comerton-Forde and D. Gallagher
“An Analysis of the Performance of Australian Active Small-Cap Managers”, ARC Discovery Grant