1,257 Works

Benefits (and pitfalls) of long-term investing

Geoff Warren
Three key advantages held by long-term investors include: the capacity to adopt positions where payoff timing is uncertain; the ability to exploit opportunities generated by the actions of short-term investors; and latitude to invest in unlisted and/or illiquid assets. These advantages provide access to a broader investment opportunity set than available to short-term investors. Strategies suited to long-term investors include: capture of risk premiums arising from the actions of short-term investors; returns from liquidity provision;...

Delegation, trust and defaulting in retirement savings: Perspectives from plan executives and members

Adam Butt, Scott Donald, Doug Foster, Susan Thorp & Geoff Warren
We combine survey data from retirement plan members with information from interviews with plan executives to get both perspectives on who accepts the default plan and default investment option and why. We use a natural experiment in default construction where a new regulatory framework required providers to have stipulated default settings in place by early 2014. We find that not all retirement savings plan members who default at the plan choice stage default at the...

How does financial literacy affect the savings decision?

Paul Brockman & David Michayluk
Savings decisions are essential in reallocating income across periods but understanding this concept may be mired by low levels of financial literacy. We survey individuals to identify the role of financial literacy in savings rates. We note differences in financial literacy and savings rates between genders and across age groups and income levels. We show that in each income group, people with low financial literacy save significantly less than others. We examine specific components of...

How to assess the competitiveness and efficiency of the superannuation system - Submission

The Centre for International Finance and Regulation (CIFR) welcomes the opportunity to provide further input to the Productivity Commission (PC) during Stage 1 of its investigation into the efficiency and competitiveness of the Australian superannuation industry.

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

Sebastian Lohr, Arndt Claussen & Daniel Rosch
During the global financial crisis (GFC), there was an apparent mismatch between credit ratings and related default risks. This was specifically evident in the credit default swap (CDS) market, where spreads on higher-rated credits widened to a greater extent than those on lower-rated credits. This paper analyses the pricing of systematic risk factors in CDS contracts. It further examines whether contract-specific sensitivities to systematic risk factors are priced into swap contracts by controlling for individual...

The Value of Bank Capital Buffers in Maintaining Financial System Resilience

Christina Bui, Harald Scheule & Eliza Wu
The Australian Financial System Inquiry (FSI) has identified ways to improve the efficiency and resilience of the Australian banking system. In particular, bank capital levels are expected to be unquestionably strong. However, limited empirical guidance on the size of such buffers exists. We...

The size, cost and asset allocation of Australian self-managed superannuation funds

Bruce Arnold, Hazel Bateman & Andrew Ferguson
The 2004 legislation that facilitated choice for superannuation investors ushered in a period of rapid growth in pension savings in Australia. Within the overall industry, growth has been particularly strong in the self-managed superannuation fund (SMSF) sector, with assets under management in this area having increased substantially over the past decade.

The Impact of Pillar 3 Disclosures on Asymmetric Information and Liquidity in Bank Stocks: Multi-Country Evidence

Jerry Parwarda, Kathryn Lau & Stefan Ruenzi
This paper provides an insight for regulators and market participants into the sharemarket impact of application of the Basel Pillar 3 bank risk reporting regime. A marked difference is found to exist in the frequency of the bank risk reporting regime in Australia compared to Europe.

Liquidity constraints, home equity and residential mortgage losses

Hung Xuan Do, Daniel Rosch & Harald Scheule
Residential mortgage loans are by far the most important asset class on banks’ balance sheets. US Federal Reserve Board data shows that US commercial banks held residential mortgage loans equivalent to 28.9% and 25% of their total assets as of October 2008 and April 2015 respectively. Mortgage credit risk is closely related to house prices. Moreover, it was considered to be low risk prior to the 2008 Global Financial Crisis (GFC). It has been found...

Success and failure in stock exchange consolidations: implications for markets and their regulation

Cally Jordan
The catalyst for the preparation of this working paper was the epochal merger in 2007 of the New York Stock Exchange with Paris-based Euronext, itself a consolidation of several European exchanges.

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Zhe Chen, David R. Gallagher & Adrian Lee
In Australia, the disclosure of investment portfolio holdings is presently at the discretion of fund managers. However, fund managers are facing the prospect of a legislated regime of mandatory portfolio disclosure, perhaps mirroring that which exists in the US and other OECD countries.

Sovereign Wealth Funds: the good guy investment actors

George Gilligan, Justin O'Brien & Megan Bowman
Sovereign wealth funds (SWFs) have been portrayed in some quarters as potential bad guys in global financial markets due to their supposed political as opposed to commercial intentions and influence. However, two key international developments during and since the 2008/2009 Global Financial Crisis have prompted some abatement in the hostility and mistrust displayed towards SWFs.

The regulation of mobile money in Malawi

Jonathan Greenacre, Louise Malady & Ross Buckley
This report is the result of a study undertaken in late 2013 on Malawi’s legal and regulatory framework for mobile money.1 The study was commissioned by the MM4P and conducted in consultation with the Reserve Bank of Malawi (RBM).

Regulation and reforms to enhance financial stability in the post-GFC era

Graeme Cooper, Jennifer Hill & Greg Tolhurst
This paper discusses key regulatory issues and developments emerging from the GFC in relation to three distinct areas - financial market regulation; taxation; and banking and finance.

MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged

Geoff Warren
This paper compares Australia’s MySuper default superannuation funds with New Zealand’s range of KiwSaver funds. Some key points of contrast include: the relative maturity and larger balances within the Australian system; the broader range of assets evident in MySuper funds; the greater use of lifecycle strategies in Australia; the skew to conservative funds under KiwiSuper; and differing fee structures. It is argued that New Zealand could do more to enhance the probability of achieving adequate...

In-house investment management: making and implementing the decision

David R. Gallagher, Tim Gapes & Geoff Warren
In-house investment management is a hot topic in the Australian superannuation industry. Organic growth and industry consolidation is leading to an increasing number of funds attaining a size at which managing their investments in-house becomes a serious proposition. SuperRatings data reveals that about 60% of superannuation funds manage some assets in-house, with nearly one-fifth reporting a substantial commitment of 20% or more of assets

Googling SIFIs

, Matteo Luciani & David Veredas
Macro prudential regulation is driven by the need to address systemic risk. The relation between the financial sector and the real economy means that systemic risk can significantly affect employment and output. Despite this relation, few empirical models of systemic risk have explored the interaction between financial and non-financial firms. The authors propose a methodology based on the Google PageRank algorithm to measure the systemic risk in financial markets, and rank systemically important financial institutions...

Global stores of value and the International role of the renminbi

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We explore the conditions under which a financial asset emerges as a global store of value and can co-exist with a pre-existing (incumbent) store of value. In our model the acceptability of an asset as a global store is driven by the issuing region’s financial development, growth rate, degree of capital liberalization, and by strategic complementarities across investors vying to purchase and sell financial assets.

Global equity fund performance: an attribution approach

David R. Gallagher, Graham Harman & Camille H. Schmidt
Despite the fact that international equities represent an important and growing asset class within investor portfolios, only a handful of research papers consider the performance of international or global equity funds. This study provides support for considering an active portfolio management approach in global equity markets, subject to the investment management fee paid by the investor.

Fool’s mate: what does CHESS tell us about individual investor trading performance?

Reza Bradrania, Andrew Grant &
In the game of chess, Fool's Mate, is the checkmate in the fewest possible number of moves from the start of the game. For financial products traded on the Australian Securities Exchange, settlement is effected by a computer system called CHESS, which stands for the Clearing House Electronic Sub register System.

Rise and rise of non-GAAP disclosure

Jeff Coulton, Andrea Ribeiro &
This monograph provides a detailed summary of how Australian firms report their financial performance.

Children and young people’s housing disadvantage: childhood exposure to unaffordable private rental (2003-2014)

Wendy Stone & Margaret Reynolds
This report is one of the first of its type in Australia that seeks to chart the nature of housing change, and specific forms of housing disadvantage, experienced by children within mainstream parts of the housing system.

Data for galaxy assymetry experiment

Lior Shamir
This page provides links to data files used in the experiment described in Photometric asymmetry between clockwise and counterclockwise spiral galaxies in SDSS

The files can be uploaded to CAS and then used to replicate the results of the experiment. For instance, comparing the r magnitude of the of the classes can be done with the following CAS query:

select avg(g) from PhotoObjAll, MyDB.cw where Objid=ID and g>0 and ra>90 and ra<270...

Economic and political overview 2017

CEDA's 2017 Economic and Political Overview (EPO) provides economic and political insights and also examines where growth will come from in 2017, ongoing domestic challenges, the prospect of a weakening Australian dollar, and global risks.

Kimberley Girl: program outcomes

Ellie Rennie & Jason Potts
In the words of one former participant, the Kimberley Girl program has become a “rite of passage” for young Aboriginal women in the region. Produced by Goolarri Media Enterprises, and now entering its fourteenth year, Kimberley Girl continues to change lives for the better. Like its Pilbara...

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