Latest research from CMCRC
  • 23-01-2015 Price discovery (as an element of market efficiency) is one of the cornerstones of market quality the other being market fairness. Research by the CMCRC illustrates how recent developments in Dark Trading in the Canadian stock market have affected the efficiency of these markets relative to their southern near neighbour market. We find that the implementation of IIROC Notice 12-0130, the first mandated limit on dark trading by a regulator, has resulted in increased price information in lit markets. However, limiting dark trading in Canada has reduced the efficiency of prices in Canada vis-s-vis US markets for cross listed stocks.
    Drew Harris ⋅ Summary
  • 15-12-2014 The study utilises a newly-developed direct measure for the probability of closing price manipulation. It finds that, at the overall level, closing batch mechanisms produce more efficient closing prices than the last recorded trade
    Nicholas Cordi, Sean Foley ⋅ Summary
  • 15-12-2014 Increasing life expectancy rates are extending the liability profiles of annuity income providers. However, the challenge of devising asset allocation strategies to fund these liabilities is complicated by a lack of appropriate assets. This thesis demonstrates portfolio management strategies to address this challenge.
    Estelle Liu ⋅ Summary
  • 15-12-2014 Managers and major shareholders typically have an information advantage over outside investors when trading a company’s shares. Numerous studies have been done into the relation between ownership concentration, industry competition and information asymmetry, but rarely using Australian data. The output of this study is particularly relevant for regulators, as it examines conditions that might limit the ability of insiders to profit from private information.
    Ethan Wang ⋅ Summary
  • 15-12-2014 Directors execute trades in their companies’ shares for a variety of reasons. Their actions may have information value for other investors seeking to mimic these strategies. This paper tests whether directors’ discretionary trading has a predictive value, and also provides a better understanding of the information flow in equity markets
    Sean Hardy ⋅ Summary
  • 15-12-2014 The impact of the GFC in Europe has been, or perhaps remains, arguably more severe than the Great Depression in terms of breadth, depth and persistence. Notwithstanding the capital requirement regime for banks that is governed by the various Basel accords, there is a straightforward policy proposal that addresses the majority of the failings exposed by the GFC.
    Miles Waring ⋅ Summary
  • 15-12-2014 Housing affordability in Australia has been in decline for more than two decades. Over the same period, the value of superannuation assets has risen strongly. Accordingly, the question arises as to whether Australia should follow the lead of a number of overseas countries and allow the use of superannuation assets to fund the purchase of a family home. This study examines this question, and also looks at whether such a move will lead to increased engagement with superannuation.
    Yolanda Li ⋅ Summary