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THE UNIVERSITY OF NEW SOUTH WALES

Faculty of Business

School of Banking and Finance

Annual Report 2006

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© School of Banking and Finance Annual Report 2006 By Shirley Webster September 2007 School of Banking and Finance Faculty of Commerce and Economics University of New South Wales UNSW Sydney 2052 Australia http://www.banking.unsw.edu.au Phone: 61 2 9385 5867 Fax 61 2 9385 6347 Email: bankfin@unsw.edu.au Cover: The Quadrangle, UNSW CRICOS Provider Code No 00098G

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TABLE OF CONTENTS

School Staff Profiles 5-6

Overview 6-8 Aims and Objectives 8-9 Academic Staff 9 Adjunct Academic Staff 9 Administrative Staff 9 Administrative Arrangements 10-11 Table 1: FTE of Full and Fractional Academic Staff by Classification and Sex 20 Table 2: FTE of Full, Fractional & Casual Staff by Function and Classification 20 Enrolments 12 Table 3: Student Load (EFTSU) Taught in Banking & Finance and Level of Program 20 Table 4: Students Graduated in Finance 21 Table 5: Recent UAI Trends 22 Table 6: Students Enrolled in Postgraduate Programs in Finance 23 Table 7: Undergraduate Enrolments by Courses 24 Table 8: Postgraduate Enrolments by Courses 25 Undergraduate Program 12 Fourth-year Honours in Finance 12 Coop Program 13 Master of Commerce 13 Master of Finance 14 Table 9: Master of Finance Specialisations 26-27 Postgraduate Research Studies 14 Prizes and Scholarships 14 Table 10: Prize Awards 28 Table 11: Recipients of the Axiss Scholar Award 28 Table 12: Recipients of UNSW Honours Scholarships in Banking & Finance 29 Research Interests 15 Table 13: Research Areas of Interest 30-35 Table 14: Working Papers (2006) 36 Table 15: Professional Activities and Community Service 36-38 Research Funding and Grants 15 Table 16: Research Grants 2006 39-40 Table 17: Research Funding 1987 – 2006 41 Publications 15 Table 18: 2006 Publications 42-44 Overseas Conference Funding 15 Table 19: Overseas Conference Funding 45-46

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Research Seminar Series 16 Table 20: Research Seminar Series 47-48 Research Theses 16 Table 21: BCom (Hons) Thesis 2006 49 Table 22: MCom Hons Thesis 2006 49 Table 23: PhD Thesis 2006 50 Database Support 16 Table 24: Database Support 50-51 The Australasian Finance and Banking Conference 16-18 Table 25: Papers presented at the Nineteenth AFBC 52-64 Alumni 18

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SCHOOL STAFF PROFILES 2006

Professor and Head of School Christopher Adam, BEc(Hons) WAust, MA PhD Harv Associate Heads of School David Feldman, BSc MBA Tel-Aviv, MS, PhD Northwestern Ronan Powell, BA Ulster, MSc PhD Essex (to 31 March 2007) Ah Boon Sim, BA MA PhD Concordia (from 1 April 2007) Professor of Capital Market Technologies Michael J Aitken, BBS MBS Massey, PhD AGSM, ASCPA, ACA (NZ), Chief Executive Officer CMCRC Limited Professors of Finance Les Balzer, BEBSc UNSW, PhD Camb, GradDipAppFin SIA, FAICD, FIMA, FSIA, FIEAust, AFAIM, CMath Philip Brown, BCom UNSW, MBA PhD Chicago, FCPA, FASSA David Feldman, BSc MBA Tel-Aviv, MS, PhD Northwestern Robert Kohn, BSc (Hons) Melb, ME, PhD ANU Fariborz Moshirian, BA Tas, MEc PhD Monash, DipEc UNE. Professor of Finance, Scientia Professor, and ARC Australian Professorial Fellow Peter Swan, BEc ANU, PhD Monash, FASSA Associate Professors of Finance Ramaprasad Bhar, BSc BTech MTech Calcutta, MASc Waterloo, MBA PhD UTS David Gallagher, BEc Macq, MCom UW, PhD USyd. Suk-Joong Kim, BEc Macq, MEc PhD USyd. Ah Boon Sim, BA MA PhD Concordia Senior Lecturers David Colwell, BSc MSC Simon Fraser, PhD Alberta Vic Edwards, BEc USyd., MEc Macq, FAIBF Kingsley Fong, BCom UNSW, PhD USyd. Thomas Henker, MBA PhD Mass Vince Hooper, BA PhD Plymouth Donghui Li, BEc Wuhan, MCom PhD UNSW Raymond Liu, BCom DipFin MCom Melb Pascal Nguyen, BA ENSAE (Paris), MA Paris 1, PhD ESSEC-IAE (France) Sian Owen, BSc Leic., MSc PhD Brunel Jerry Parwada, BCom NUST, MBA PhD ECU Peter Pham, BB PhD Monash Ronan Powell, BA Ulster, MSc PhD Essex Jonathan Reeves, BCom MPhil (Mathematics) Auck, PhD Queen’s (Canada) Jo-Ann Suchard, BCom N’cle, MCom PhD UNSW Kathy Walsh, BCom Curtin, PhD AGSM Jian-Xin Wang, BS Tsinghua, MA Kansas, PhD Northwestern Eliza Wu, BEc Tas, BEc PhD UNSW Li Yang, MS Tsinghua, PhD Illinois Alfred Yawson, BSc Ghana, MSc PhD Queen’s Yuan (Gloria) Tian, BEc Nankai, PhD Alberta Jason Zein, BCom PhD UNSW Lecturers Zhian Chen, BE Shanghai Merc. Marine MCom USyd, PhD UNSW Julia Henker, BS MBA Mass Kathryn Wong BBus Monash, PhD USyd. Henry Ying Kuen Yip, BEc Maq, PhD UNSW Adjunct Professors of Banking and Finance Mark Bouris, BCom MCom UNSW Joe Fernandes, BSc PhD Monash, Grad Dip SIA Jacob D Gray, BA USyd., PhD UNSW, ASIA Andrew Rothery, BCom LLB UNSW

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Justin Wood, BCom Natal, PhD UNSW Adjunct Associate Professors of Banking and Finance Jon Glass, BSc UNSW, PhD Ca. Toan My Pham, BEc Tas., MCom PhD UNSW Adjunct Staff Christopher Blanchflower, BA Macq, LLB UNSW Susan Gosling, MA Essex, BSc PhD Lond Andrew Hingston, BA (Hons) UNSW Anatoly Kirievsky, BA, LLB UNSW John Peterson, BCom UNSW Honorary Visiting Professor Ian Gayford Sharpe, BS Slll, MA PhD Stanford, AAIUBF(Snr) Administrative Staff Stephanie Osborne Taline Tabakyan Golino Shirley Webster OVERVIEW The year 2006 was one of change for the School of Banking and Finance and the Faculty. Professor John Piggott became Acting Dean of the Faculty until September when Professor Alec Cameron was appointed as Dean to lead the integration of UNSW’s Faculty of Commerce and Economics and the Australian Graduate School of Management into the new Faculty of Business. Professor Greg Whittred accepted the position as Foundation President of UNSW Asia, and Professor Terry Walter also transferred to UNSW Asia. Professor Chris Adam, Professor of Finance at AGSM, agreed to take on the role of Head of the School of Banking and Finance and continue as Head of the Finance Cluster at AGSM. Terry was farewelled by the School on 1 September at a very enjoyable and successful function. As Acting Dean, John Piggott appointed two Associate Heads for our School: Professor David Feldman took on the role of Associate Head (Research), and Dr Ronan Powell accepted the position of Associate Head (Teaching). All three leadership appointments were effective from 1 September 2006. The slightly changed structure was to assist the School’s transition into the integrated entity of the former Faculty of Commerce and Economics and the Australian Graduate School of Management. The School of Banking and Finance will play a core role in the integrated faculty, as well as providing strong recognition of the importance of research and teaching, and the potential to enhance its profile in these areas. Members of the School attended a function on 17 March 2006 to mark the retirement of Associate Professor Toan Pham. Toan’s outstanding teaching and research, his extensive support and advice to colleagues and students, his constancy, and his frequent two-shift days, 7 days a week over more than 30 years of service to the School, were warmly acknowledged by Terry Walter. Professor Doug Foster decided to move to the ANU at the end of the year. Doug was a strong and supportive member of staff and brought enthusiasm to all tasks he undertook in the School. The research projects that Doug initiated with co-authors at the School will continue so he will remain a positive presence for hopefully a long time to come. As précised by Chris Adam at the end of the year,

‘If there seems to have been a theme for 2006, I think it must be summarized by the word "change". We had macro change for our whole School as part of the Faculty of Commerce and Economics, and there were many micro changes relating to individuals. The story of our role as a major player in the emerging Faculty of Business and the advantages that can ensue with our links across all the new Schools of the Faculty and the elements of AGSM, is familiar to us and is still on-going. But you may not be so aware that, behind the scenes at the macro level, we have also contended (and continue to contend) with a new budget framework for the University, new promotion rules for academic staff, new appointment conditions for staff, new procurement and asset management guidelines for faculties . . .

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It really seemed like a revolution from the Chancellery this year just as we were trying to cope with setting up the new Faculty. I think the more interesting, and perhaps more uplifting, stories for this year have been the individual changes within our School for all of our staff. Our staff are our School's most valuable resource. We have had some sad personal moments - for example, the formal departure of colleagues such as Terry Walter and Toan Pham (although both have fortunately been continuing work with us), Kathleen White and Clarissa Niland. I am glad to say we have also learned of some very happy personal moments: I have counted at least five new babies born to staff members in 2006, and at least one grandchild, as well as at least three weddings. I am delighted to see that folk do have lives outside work! Our professional successes have been manifold: the appointment of three colleagues to more senior positions (David Feldman obtained Professorship at the beginning of the year, Sian Owen and Alfred Yawson became Senior Lecturers); the winning of fellowships and scholarships such as the John Yu Fellowship (Jerry Parwada) and the Sir Anthony Mason Scholarship (Donghui Li); Peter Pham’s being a recipient of a 2006 Non-Professorial Research Achievement Award along with Donghui Li, and Fari Moshirian was chosen to be the Bertil Danielsson Guest Professor for the year 2006 as a result of which he delivered seminars and lectures in Sweden; the completion of higher degrees (Julia Henker has had her PhD recommended for award); great success in obtaining ARC Research Grants, Special Research Grants, and other funding for impressive research that will contribute greatly to our financial knowledge; an improving record of publications in good and great journals; the recognition of excellence for our Honours Program (including the award of the University Medal to Mark Humphery). Our BCom enrolments rose, we have the MFin on track with much greater growth, and the MFinAn is bringing in many new applicants ready for its first year in 2007. Our research seminar series ran fully charged for the year, with many outstanding presenters to a pleasingly growing group of attendees; and we had an impressive range of distinguished academic visitors, several supported by our valuable links with FIRN. Our colleagues also travelled to give many seminars in many other universities and conferences around Australia and the world - I gave up counting after 30! Our own AFB Conference was another success with high attendance and research papers of an increasing quality - a real recognition for the hard-working efforts of Fari Moshirian and his team of administrative and academic staff members. The School also garnered a good range of positive external media coverage, from specific articles written by our colleagues as well as commentary on current issues (this is an area in which I feel we shall come under increased pressure to link with various external client groups in 2007, so we should be even more willing to contribute this sort of output). One understated area in this School is its administrative and infrastructure system. This is actually a good, but also unfortunate, result: the good administrative systems that operate the School are effectively invisible when they run well, but they then run the risk of being ignored. I want, therefore, to register my full appreciation and thanks to those in the administrative staff roles - Shirley Webster, Stephanie Osborne, Taline Tabakyan-Golino, Kaaren Watts, and Vincent Tang - who have made these systems work so well in 2006. I am also very grateful for the great support I have received from our Associate Heads of School, David Feldman, Ronan Powell and Ah-Boon Sim, as well as the enormous number of our academic staff who have pitched in as program directors, School representatives on committees, and managers of other required tasks that we must do to run the School.’ Other achievements during the early part of the year were: Zhian Chen completed his PhD studies in the School as did research student Qionbing Wu; there were also four MCom Hons completions. Enrolments in research degrees (MPhil and doctorate) increased with a notable increase in Fee-Paying International students (Table 3). Student numbers in undergraduate and postgraduate coursework degrees also increased. Kathy Walsh took over from Suk-Joong Kim as the Fourth-year Honours Director; and Jason Zein and Eliza Wu coordinated the School’s Co-op program. In 2006 a total of 657 degrees were awarded in Finance by UNSW - Table 4 provides the details. The School’s partnership with SIRCA and CMCRC continued. Staff members were successful in obtained grants and the Faculty and School continued to support research-related travel. A number of staff members had publications in highly respected journals. Faculty scholarships were awarded to fourth-year honours students, CMCRC provided a number of high achievement and PhD scholarships and the AXISS scholar program entered its final year of sponsorship. The School of Banking and Finance’s governance structure continued to reflect the need to balance UNSW teaching, research and administration requirements with fair, stable and excellent educational

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instruction for students. The School is governed by the decisions made at School Meetings in which all School staff are considered to be members of the School Advisory Committee (SAC). The Head of School Advisory Committee (HOSAC) (a representative group of seven staff members including the Head of School, two Associate Heads of School, two senior administrators and two nominated representatives) met as necessary. Thomas Henker and Vic Edwards were the nominated representatives during 2006. CATEI (Course and Teaching Evaluation and Improvement) procedures continued with a lecturers in charge of FINS1612, FINS1613, FINS3650, FINS5550 and MFIN6210 volunteering to allow students to submit evaluation forms via the untried on-line system. Staff reported outcomes to the Head of School who in turn submitted a report to the Dean. In response to the Federal Government learning and teaching performance funding initiative, Teaching and Learning Indicators were set up by UNSW to improve the learning experience of students. This resulted in it being necessary for all new lecturers and senior lectures to attend The Foundations of University Learning and Teaching (FULT) training. In continuation of the above initiatives, approved templates are now used for course outlines. Mapping of graduate attributes in an undergraduate program, sessional staff programs, evidence of student views and full implementation of CATEI are in place with a view to progressing to the next stage of AACSB accreditation. The School’s association with the Financial Integrity Research Network (FIRN) continued with the involvement of Les Balzer, Ram Bhar, Philip Brown, David Feldman, Doug Foster, David Gallagher, Robert Kohn, Ian Sharpe, Peter Swan and Terry Walter. FIRN is housed at UTS with Professor Carl Chiarella as the convenor and is mainly funded by the Australian Research Council but also through contributions from its member universities. Funding is used to support visiting academics, the establishment of an electronic working paper series, conference support and PhD student support. In 2006 FIRN continued to provide support for the Australasian Finance and Banking Conference by offering a prize for local students and PhD students from FIRN member universities. Visitors to the School included: Dr Sheila O’Donohoe from 1 July to 31 August; Professor Avner Kalay for two weeks in September; and Professor Ron Masulis for two weeks in December. The School of Banking and Finance at UNSW was ranked in the top five regional Finance schools in the Asia Pacific Finance Journal in November 2005. The Journal provided the ranking of finance programs in the Asia-Pacific region using a set of 21 finance journals during the period of 1990 to 2004. A total of 170 universities were ranked.

AIMS AND OBJECTIVES To continue to offer courses and research support of the highest calibre to ensure the School continues to enjoy a reputation for being the top finance school of choice for undergraduate and postgraduate finance study in Australia. In the pursuit of excellence, to recruit highly qualified academics from around the globe to provide students with quality teaching and learning instruction in coursework (undergraduate and postgraduate) and research programs. To ensure that the School has adequate administrative support provided by effective staff. To be successful in competitive external research grants. To publish research findings in top quality international refereed journals and to deliver research papers at the most prestigious finance conferences in the world. The overall objective is to be the leading School of Finance in the Asian region. These objectives are consistent with the Faculty’s vision, mission and values statement, namely: Vision: To be the leading business faculty in the Asian region – a compelling place in which to work, to learn and to return. Mission: Through excellence in scholarship, to enhance the capability of our students and staff to add value to the organizations, professions and communities in which they aspire to leadership roles.

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Values: As a community we value collegiality and diversity, but there are other ties that bind us together, capture our shared values and those we seek to instil in our students: teamwork, innovation excellence and scholarship. ACADEMIC STAFF As précised by Chris Adam in the ‘Overview’ above, there were many School Staff successes in 2006: awards such as the John Yu and Sir Anthony Mason Scholarships were achieved by Jerry Parwada and Donghui Li; the non-professorial research achievement award was won by Peter Pham and Donghui Li; Fari Moshirian was granted the Bertil Danielsson Guest Professorship and Robert Kohn was appointed as a Scientia professor. Zhian Chen was awarded his doctorate and Julia Henker’s examiners recommended the award of PhD. The Head of School was appreciative of the number of ARC grants submitted many of which translated to staff members being successful in obtaining ARC Research Grants, Special Research Grants and other funding. As listed in Table 17. Ah Boon Sim and Ronan Powell were initially Associate Heads of School, joined by David Feldman in the new role of Associate Head of School (Research); Kathy Walsh was the Fourth-year Honours Director and Jason Zein and Eliza Wu were Finance Coop Honours coordinators. Lists of staff members who were responsible for assisting in the administrative arrangements for the School may be found on pages 10 and 11. Professional activities and community service that staff are involved in are listed in Table 15. ADJUNCT ACADEMIC STAFF Adjunct staff roles are valued in the School. Adjuncts advise on recent developments in industry as practitioners often bringing their practical experience to students in a teaching role. Andrew Hingston and Anatoly Kirievsky contributed to teaching in the School in 2006. A list of adjunct staff may be found on pages 5-6. ADMINISTRATIVE STAFF In 2006, the School’s administrative staff were: Rebecca Archer (until mid 2006), Stephanie Osborne, Taline Tabakyan (from August 2006) and Shirley Webster. Rebecca moved to the Dean’ Unit and Taline came from the Faculty Student Centre.

All administrative staff were encouraged and supported to undertake relevant programs of study and short courses to assist in their career advancement. Since broadbanding of administrative positions was introduced into UNSW, all administrative positions in Banking and Finance are broadbanded.

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ADMINISTRATIVE ARRANGEMENTS FOR 2006 Session 1 from March 2006 Head of School T Walter Associate Heads of School R Powell & A Sim Head of School Advisory Committee R Powell, A Sim, T Henker, V Edwards, S Osborne, S Webster Grievance Officers L Yang School Student Ethics Officer (SSEO) R Bhar Tutorial Program Coordinators A Sim, R Powell & S Webster Staff Seminar Series Organisers P Nguyen, H Yip Directors of Undergraduate Studies T Henker & A Yawson Assistant Directors of Undergraduate Studies L Yang, V Hooper & P Pham International Exchange & Study Abroad Advisers J Reeves & L Yang Finance Co-op Program Coordinators E Wu & J Zein Director of Undergraduate Honours Program K Walsh Assistant Directors of Undergraduate Honours Program JX Wang Directors of MCom (Coursework) Studies K Fong & D Li Assistant Directors of MCom (Coursework) Studies R Liu & S Owen Director of Master of Finance Program J Evans Director of MPhil (Hons) Studies D Colwell & D Feldman Directors of Postgraduate Research Studies F Moshirian, P Swan & T Walter Banking Program Coordinator P Pham Funds Management Program Coordinators L Balzer & D Gallagher Int’l Finance Program Coordinator F Moshirian Conference Convenor F Moshirian Editorial Committee S Webster Teaching and Learning Committee R Powell, A Yawson, K Walsh,

J Henker & V Edwards Faculty Education Committee D Colwell & R Powell Faculty Research Management Committee R Bhar & D Feldman Faculty Standing Committee T Henker Faculty Timetable Committee A Sim, R Powell & S Webster Interfaculty Timetables & Accommodation Committee A Sim, S Webster Administration of Prizes and Scholarships K Walsh, JX Wang & S Webster Career Day, Open Day & HSC Day Coordinators S Owen, J Henker & S Webster Commerce Society Liaison Officers J Zein, E Wu & S Osborne Computing Nominee/Coordinators V Tang & S Osborne Data Base Development and Management T Henker, P Pham, & V Tang Library Liaison Officers Z Chen, & R Liu MCom Information Evenings & Events Coordinators D Li, K Fong, R Liu & S Owen OH&S Faculty Committee H Yip OH&S School Officer S Osborne Heffron/Quadrangle Building Facilities Committee S Osborne & T Walter Web Teaching Resource Coordinators P Pham, V Tang & J Wang Working Paper Series L Yang & J Reeves Alumni Co-ordinators K Fong & JX Wang Research Publication Coordinator J Parwada Special Consideration Committee A Sim & S Webster

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ADMINISTRATIVE ARRANGEMENTS FOR 2006 (cont’d) Session 2, from July 2006 Head of School C Adam Associate Heads of School R Powell, A Sim and D Feldman Head of School Advisory Committee R Powell, A Sim, T Henker, V Edwards, S Osborne, S Webster Grievance Officers L Yang School Student Ethics Officer (SSEO) R Bhar Tutorial Program Coordinators A Sim, R Powell & S Webster Staff Seminar Series Organisers H Yip & D Feldman Directors of Undergraduate Studies T Henker & A Yawson Assistant Directors of Undergraduate Studies L Yang, V Hooper & Z Chen International Exchange & Study Abroad Advisers S Kim & L Yang Finance Co-op Program Coordinators E Wu & J Zein Director of Undergraduate Honours Program K Walsh Assistant Directors of Undergraduate Honours Program J Wang Directors of MCom (Coursework) Studies S Kim & D Li Assistant Directors of MCom (Coursework) Studies R Liu & P Nguyen Director of Master of Finance Program D Foster Director of Master of Financial Analysis Program T Pham Director of MPhil (Hons) Studies D Colwell & D Feldman Directors of Postgraduate Research Studies C Adam, D Feldman, F Moshirian,

P Swan &D Feldman

Banking Program Coordinator V Edwards Funds Management Program Coordinators L Balzer & J Reeves Int’l Finance Program Coordinator F Moshirian Conference Convenor F Moshirian Editorial Committee S Webster Teaching and Learning Committee R Powell, A Yawson, K Walsh, J Henker

& V Edwards

Faculty Education Committee D Colwell & R Powell Faculty Research Management Committee D Feldman & D Foster Faculty Standing Committee T Henker Faculty Timetable Committee A Sim, R Powell & S Webster Interfaculty Timetables & Accommodation Committee A Sim, S Webster Administration of Prizes and Scholarships K Walsh, JX Wang & S Webster Career Day, Open Day & HSC Day Coordinators J Henker, S Webster & K Wong Commerce Society Liaison Officers J Zein, E Wu & S Osborne Computing Nominee/Coordinators V Tang & S Osborne Data Base Development and Management D Foster, T Henker & V Tang Library Liaison Officers Z Chen, & R Liu MCom Information Evenings & Events Coordinators S Kim, D Li, R Liu & P Nguyen OH&S Faculty Committee H Yip OH&S School Officer S Osborne Heffron/Quadrangle Building Facilities Committee S Webster & T Walter Web Teaching Resource Coordinators V Tang & J Wang

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ENROLMENTS

The equivalent full-time student teaching load in Finance indicates an increase over that of 2005 (900.4 in 2005, 1044.8 in 2006). The increase was in most areas taught: PhD, Master by coursework, and undergraduate enrolment numbers. Nine students completed the fourth-year honours program in finance in 2006 compared with 16 completions in 2005. Details of the theses completed in 2006 are listed in Tables 22, 23, and 24. In the MCom program, the School offered core courses in Semester 1 and 2, also in Summer Semester to accommodate the Session 2 intake and spread enrolments more evenly throughout the year. Enrolments at both undergraduate and postgraduate levels are summarised in Tables 3, 6, 7 and 8. UNDERGRADUATE PROGRAM The UAI cutoff in 2006 was 93.00 (Table 5) for the intake into the Bachelor of Commerce at UNSW. Accordingly, entering students are very talented and highly competent learners. In 2006 the total international undergraduate EFTSUs generated in the School was 234.1 compared with 207.4 in 2005. Local undergraduate students generated an EFTSU load of 487.5 compared with 397.7 in 2005 giving the School a total of 721.6 undergraduate EFTSUs in 2006. The School’s aim is to be the best School in undergraduate course offerings domestically and regionally by offering courses that are relevant to industry, so that graduates can acquire appropriate knowledge and skills that finance industry leaders would recognise and accept as the best. The expanded tutorial program was continued to support the majority of undergraduate classes taught. WEBCT facilitated the dissemination of course information to all undergraduate enrolled students. The objective is to ensure that all students receive quality teaching and learning in courses provided by the School. Two undergraduate presentations on behalf of the School were given during the orientation weeks in Semester 1 and Semester 2 by the School’s Undergraduate Directors, Thomas Henker and Alfred Yawson. Ronan Powell represented the School at the FCE Review and Innovation Committee which was established to review FCE undergraduate programs. In 2006, 467 students graduated with a major in finance, Table 4. For undergraduate enrolments in individual courses in 2006 refer to Table 7.

FOURTH-YEAR HONOURS IN FINANCE The program is open to all high achieving students who have completed their BCom degree requirements with a major in Finance. All suitably qualified students from other Universities may also be accepted into the additional year of study. In 2006, 16 offers were made and 10 students accepted with one changing his enrolment in S1 06 to an MPhil because of work commitments. Six students obtained first class honours and three were awarded Honours Class 2 Division 1. Mark Humphery was also awarded the University Medal in Finance. The National Honours Colloquium, at which Banking and Finance fourth-year honours students presented (their papers are listed below) is offered by the Faculty of Commerce and Economics. The Colloquium is an annual one-day event featuring presentations from fourth-year honours students on their research-in-progress. Mark Laurence Humphery, UNSW Managerial entrenchment, hubris and takeover returns. Anh Tu Le, UNSW Secrecy of Bank of Japan’s yen interventions: Why? When? Were they effective? Thanks go to Kathy Walsh who was the undergraduate honours director and to the staff who supervised the students’ theses. Table 22 lists the 2006 thesis topics.

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CO-OP PROGRAM After a successful inaugural year for the fourth-year Finance (Hons) Co-op Program in 2005, ten scholarships were awarded in 2006 The 2006 sponsors were: BT, Deutsche Bank (2 places), JPMorgan, Goldman Sachs JB Were, Merrill Lynch, Port Jackson Partners, Rothschild, Westpac Institutional Bank and UBS. The nine sponsor companies have pledged to support the ten scholars over the next four years. Throughout the year, site visits were undertaken. These visits gave students around two hours of time spent with senior management and recent graduates of the sponsoring firms and the opportunity to ask questions and receive feedback which will assist them in setting career goals. The program provides students with valuable research and analytical skills under the supervision of Banking and Finance academics. The combination of the degree with hands-on practical experience provides Co-op scholars with an excellent opportunity of furthering their knowledge and skills in partnership with sponsor organisations. This is a big step towards achieving the Faculty’s goal, to have the largest industry placement program for business degrees in the country. The Academic performance of the Co-op scholars has been outstanding as the graphs below show. Weighted Average Marks (WAM) for the 2005 and 2006 cohorts of scholars.

It is important to note that the WAMs for the 2005 Scholars are based on their performance over 3 session or 12 subjects, whereas the WAM for 2006 Scholars is based on 1 session or 4 subjects There are a number of high academic achievers (HD average or above) in each group that should be singled out for specific mention. In the 2005 cohort these are: Stephanie Pow, Jessica Chung, Elton Chan, Joyce Lai, Clare Xu, Stephanie Dash. In the 2006 cohort these are: Tom Hordern, Rose Wan, Cindy Wei, Arash Shojaie. Many thanks go to Terry Walter, David Gallagher and Kathy Walsh for their dedication to making the initiative successful. In 2006, David Gallagher and Kathy Walsh passed the program into the capable hands of Eliza Wu and Jason Zein. MASTER OF COMMERCE The revised Master of Commerce attracted students to the various specialisations of Banking, Funds Management, Finance and International Finance. Students are required to take four core courses COMM5001 Business Communication, Ethics and Practice, COMM5002 Managing for Value Creation I, COMM5003 Managing for Value Creation II and COMM5004 Business Project and must complete six courses from the Banking and Finance disciplinary stream. The Directors of the Master of Commerce program in Banking and Finance were Kingsley Fong and Donghui Li. A summary of enrolments in MCom courses offered by the School in 2006 may be found in Table 8.

2005 Scholar Weighted Average Marks (WAM)

70

75

80

85

90

95

1 2 3 4 5 6 7 8 9 10 11 12 13 14

Student

WAM

2006 Scholar Weighted Average Marks (WAM)

65

70

75

80

85

90

95

1 2 3 4 5 6 7 8 9 10

Student

WAM

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MASTER OF FINANCE The reviewed Master of Finance (MFin) program was offered in 2006 with a program fee the same as the Master of Commerce degree fee; the program has four core courses and four elective courses that may be chosen from the advanced MCom offerings. MFIN6214 Financial Theory Policy is an additional core offering along with MARK5816 Services Marketing and MFIN6211 Structured Finance Law. The program was presented at the Kensington campus to students who had completed a degree majoring in finance. A list of courses offered as Specialisations in the MFin is in Table 9.

POSTGRADUATE RESEARCH STUDIES The School continued to attract high caliber students in the MPhil and PhD programs which were supported with scholarships, funding and data base support. Four students continued to be enrolled in the Master of Commerce (Hons) program, the MPhil program attracted an enrolment of four students and there were 44 students enrolled in the PhD program. In 2006 each research student’s progress was reviewed which resulted in each student being kept on track with deadlines and submissions. Within the School of Banking and Finance only two staff members did not hold a doctorate in 2006. As staff members have research interests that span most areas of finance research, the School has a great ability to provide supervision to postgraduate research degrees. A list of staff research interests may be found in Table 13. When Professor Terry Walter moved to UNSW Asia in September, Professor David Feldman was appointed as an Associate Head of School (Research) and the School’s Director of Postgraduate Research. David’s main aim is to have the School recognized as a Top Academic Research School worldwide. Table 6 gives a record of 2006 research enrolment figures.

PRIZES AND SCHOLARSHIPS The School is very grateful for the support of a small group of corporate donors whose generosity has enabled the School to reward outstanding scholastic achievement through the award of student prizes and scholarships. A list of donors and the recipients of prizes and scholarships in 2006 is provided in Tables 10, 11 and 1. Special congratulations go to Mark Humphery on being awarded the University Medal. The AXISS Scholar Program was offered for the last year in 2006. Each year scholarships are awarded, with a sponsoring organisation, to outstanding students, in the final year of an undergraduate or postgraduate university course, for ten to 14 weeks full-time work experience. An AXISS Scholar is given the opportunity to gain invaluable ‘on-the-job’ experience and at the same time is exposed to Australia's top financial sector employers. In 2006, three scholars were placed with two sponsors’ organisations (Table 11). Scholar applicants must be completing a finance or commerce major as part of an undergraduate or postgraduate degree. Students enrolled in an honours’ year or double degree are also eligible to apply but applicants must intend to join the full-time workforce in the year following the placement. In 2006 the Faculty sponsored UNSW Honours Scholarships in Banking and Finance

• To stimulate and encourage research within the School • To encourage highly intelligent and diligent students to do their honours year at UNSW • To increase the visibility of the School’s research agenda • To encourage students to continue onto PhD research • To allow students additional time to concentrate on their thesis by reducing the need to seek

paid employment to support their activities. MPhil and Fourth-year Honours students were eligible for the scholarship. Four scholarships of $5,000 per annum were awarded. A list of recipients may be found at Table 12.

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RESEARCH INTERESTS

The School seeks to maintain the highest international standards in both fundamental and applied research in banking and finance and, through that research, to aid the advancement, development and practical application of scientific research of relevance to industry and commerce. This objective is fostered in several ways including the publishing of research findings, the organisation of a School research seminar series, sponsorship of the Australasian Finance and Banking Conference, and by supporting the acquisition of Australian and International databases utilised by researchers in the School. The School maintained its association with CMCRC and SIRCA. Li Yang and Jonathan Reeves (the Working Paper coordinators) received working papers in 2006. All the working papers are currently available at http://www2.banking.unsw.edu.au/nps/servlet/portalservice?GI_ID=System.LoggedOutInheritableArea&maxWnd=_Research_WorkingPaperSeries and are listed in Table 14. RESEARCH FUNDING AND GRANTS The Research Committee of the Faculty of Commerce and Economics has two types of research grants: the Faculty Research Grants (FRG) and Faculty Special Research Grants (SRG). Unsuccessful FRG applications may be considered for SRG funding. The FRG scheme aims to support research of modest cost and provide seed funding to support research that will ultimately be the subject of applications for funding from external schemes. The SRG provides funding of up to $5,000 with the aim of introducing early career researchers to the procedures needed to successfully compete for larger external funding. The SRG scheme has two rounds and is primarily for promising early career researchers who are full time, continuing, or both and are expected to have a continuing role in Faculty. A joint FRG was awarded to Donghui Li, Peter Pham and Jason Zein; Eliza Wu received an FRG grant and Ronan Powell received a joint FRG grant with John Taylor from Business Law and Taxation. Zhian Chen, Raymond Liu, Peter Pham and Kathy Walsh were awarded SRGs. The most prestigious competitive research grants in Australia are those offered by the Australian Research Council (ARC). Table 17 summarises the School's research funding over the 1987-2006 period. Professor Terry Walter and Assoc Professor David Gallagher along with Carole Comerton-Forde from Sydney University were awarded $100,000 for an ‘Examination of the structure, performance, trading activity and portfolio compositions of small-cap equity managers’. Professors Peter Swan, David Feldman and Peter Westerholm from Sydney University were awarded $145,000 for ‘Fragmentation, globalization and the architecture of stock markets: How should the ASX be redesigned to ensure its long-term survival?’ Dr Jo-Ann Suchard received $25,500 for ‘The contribution of the private equity and venture capital industry to the Australian economy and society’. $10,000 was awarded by CRC for scholarships and Mike Aitken received $66,131 funding for ‘The efficiency and integrity of 40 world markets’. Professor Moshirian, Assoc Professor Suk-Joong Kim and Dr Eliza Wu were awarded a Goldstar grant for $40,000 for ‘The financial consequences of Asia financial market integration for Australia’.

PUBLICATIONS The publications profile of the School over the 2006 period is summarised in Table 20. During 2006 staff members published 41 articles in refereed International and Australian academic journals, and Vic Edwards presented a paper at a Conference where the full paper was refereed. OVERSEAS CONFERENCE FUNDING The School and Faculty of Commerce and Economics provide financial support for academic staff to present the results of their research at domestic and international conferences. A listing of 2006 conference attendees is shown in Table 20.

16

RESEARCH SEMINAR SERIES The School's research seminar series runs throughout the year and in 2006, twenty nine lunchtime seminars were well attended by staff and students. Henry Yip was the main organiser, assisted by Pascal Nguyen in Semester 1 and David Feldman in Semester 2. Seventeen overseas academics presented - twelve speakers were from Australia (including four from our School). Seminars present an active forum for the discussion and development of research issues. A list of the presenters and their seminar topics is provided in Table 21. RESEARCH THESES In 2006, nine students successfully completed undergraduate honours theses in the School. The topics and supervisors are summarised in Table 22. Four students graduated with MCom (Hons), Table 23 and two doctorates were awarded: one to Qiongbing Wu and one to staff member Zhian Chen. Their thesis topics are listed in Table 24. Support and encouragement are provided by Faculty and the School to assist students and supervisors to collaborate and submit reworked theses to prestigious journals for publication. DATABASE SUPPORT The School subscribes to a comprehensive suite of research databases. Most of these are accessible either through the internal FCE computer network or WRDS. These databases include: CRSP, Compustat, IBES, IRRC, Datastream, Eventus, ExecuComp, RASP, SDC Platinum, SIRCA, TAQ, CDA Mutual Funds, Thomson Financial Ownership plus others. Vincent Tang is the custodian of all data media of the School of Banking and Finance. The School of Banking and Finance recognises that in order for academics to produce high quality research papers it is essential that they have access to a wide range of financial market databases. We believe that the quality and quantity of databases subscribed to and accessed at UNSW is superior to that available to all other Australian universities. These facilities are used extensively by academics in their own research, by our increasingly large pool of postgraduate and honours research students, and by our undergraduate and postgraduate coursework students in various aspects of their courses. In order to fully utilise our subscribed databases, Vincent held a database introduction workshop for all academics and research students at the beginning of Semester 1. The workshop provided an overview of all of the existing databases. The School aims to further improve the access to these databases and to consolidate the existing databases in order to facilitate tangible research outcomes. The great challenge for the School is to maintain and expand the internationally competitive suite of databases. Table 25 provides a listing of the School's research databases.

THE AUSTRALASIAN FINANCE AND BANKING CONFERENCE The Nineteenth Australasian Finance and Banking Conference was officially opened by the Honorable Mr Michael Costa, the New South Wales Government Treasurer on Wednesday 13 December at the Shangri-La Hotel in Sydney. There were more than 230 attendees at the Conference with 176 papers presented by conference delegates over the three days. The majority of attendees came from Australian and New Zealand tertiary institutions, but this year 36% of delegates came from countries other than Australasia. Sixty five of the one hundred and seventy six papers were presented by academics from institutions/companies outside Australasia with delegates from eleven countries across Asia, the USA, Canada, South Africa, and from twelve European nations. The initial keynote address was given by Professor Florencio López-de-Silanes, with the topic of ‘Law and Finance: 10 years after’. Florencio López-de-Silanes is a Professor of Finance and Governance and the Chair of the MBA and International Masters’ Committees at the University of Amsterdam Business School. His research interests and main publications fall in the areas of International Corporate Finance and Financial Markets, Legal Reform and Privatization and he has been an advisor on these topics to several governments, international institutions and corporations. He has many publications in top finance and economics journals and has recently published two books on Investor Protection and

17

the Benefits of Privatization in Latin America. Among other distinctions, he received Harvard's Wells Prize for the Best Dissertation in Economics (1995), the Brattle Prize for distinguished paper in the Journal of Finance of the American Finance Association (1999), and the Jensen Prize for the best papers published in the Journal of Financial Economics in the Areas of Corporate Finance and Organizations (2000). Before going to Amsterdam, he taught at Harvard, Yale, and the Ecole Normale Superieur in Paris. The second keynote address on Day 2, ‘Can bankers pick winners?’ was presented by Professor Christopher James who currently holds the William H Dial Sunbank Eminent Scholars Chair in Finance at the University of Florida. Prior to joining the faculty at Florida, Professor James taught at the University of Oregon and the University of Michigan. He has also had appointments at the FDIC, Federal Reserve Bank of San Francisco, Board of Governors of the Federal Reserve System and the Office of the Comptroller of the Currency. Currently Professor James serves as an associate editor of the Journal of Financial Economics, Journal of Financial Services Research, and the Journal of Managerial and Decision Economics. Professor James has published extensively in the area of corporate finance and banking. His current research focuses the information content bank loan covenants and he currently serves as a consultant to a number of financial institutions on issues concerning risk management, valuation and mergers and acquisitions. On the final day of the conference the first keynote presentation, entitled ‘INCOMPLETE INFORMATION: A New Approach to Financial Decision Making’ was given by Professor David Feldman. David Feldman is a Professor of Finance, Associate Head of School, Research, and the Director of Post Graduate Research Studies at the School of Banking and Finance, The University of New South Wales. Professor Feldman’s research initiated, and has since been developing, the area of equilibrium asset pricing under incomplete information. Professor Feldman’s research has been widely published, most notably in the Journal of Finance, Journal of Financial and Quantitative Analysis, Review of Finance, Mathematical Social Sciences and he has also refereed for various journals and reviews. Professor Feldman has taught at the Kellogg Graduate School of Management of Northwestern University, Vanderbilt University, Carnegie Mellon University, University of Chicago, and other schools. His current research suggests a new approach to financial decision making. The final key-note address of the conference was by Professor Ronald Masulis, whose expertise lies in corporate finance, investment banking, international finance, market microstructure and financial institutions. Before joining the Owen faculty in 1990, he taught at Southern Methodist University and the UCLA/Anderson Graduate School of Management. He has also worked as an economist at the Securities and Exchange Commission, the Federal Home Loan Bank Board and the Federal Savings and Loan Insurance Corporation. Professor Masulis's research interests include investment banking, optimal financing decisions, market microstructure, and international finance and he publishes frequently in many journals including the Journal of Financial Economics, as well as in the Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Journal of Accounting and Economics. Four of his articles have been designated as Journal of Financial Economics All Star Papers. Professor Masulis is a past member of the board of directors of the American Finance Association and the executive committee of the Western Finance Association, and has been an associate editor of most of the leading academic journals in finance. On the second day of the conference a short afternoon presentation was given by Professor Harald Benink of RSM Erasmus University. Mr Peter Charlton of First Charlton Communications gave the Conference Dinner Address, using the opportunity to speak about Asia Pacific Financial Integration, specifically the challenges and opportunities for APEC in 2007 and beyond. Peter Charlton has been working in the business field since 1957. He won the Commonwealth Award for Outstanding Export Achievement in 1971 and in 1972 he became General Manager of SSC&B Lintas Advertising in Melbourne which saw him appointed as Vice Chairman, SSC&B Lintas overseas, in London, in 1974. Peter Charlton has also been a Senior Vice President of McCann Erickson worldwide. He was a member of the Interpublic Development Council from 1978–85 and was appointed Chairman of an Australian Trade Mission to Korea in 1989. With the support of the NSW Government, he became Chairman of the corporate program “Sydney - A World Financial Capital." He was appointed the Prime Minister’s delegate for the Singapore Australia Business Advisory Forum and was appointed by the Prime Minister as one of three Australian representatives on the APEC Business Advisory Council in 2001. In 2003 he was invited to become the Australian member of the East Asia Business Advisory Council, dealing with Economic Development issues in East Asia for the UN. He was awarded, in April 2003 by the Prime Minister, the Australian Centenary Medal for service to Australian society through international business.

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In 2006 an International Business Forum ‘Financial Challenges and Opportunities in the Asia Pacific Region’ was held before the Conference was officially opened. It featured a roundtable discussion with senior executives from HSBC (Dr John Edwards), Westpac (Mr Bill Evans), Citigroup (Mr Stephen Halmarick), TD Securities (Mr Stephen Koukoulas) and Macquarie Bank (Mr Richard Gibbs). A range of issues pertaining to the future for Financial Services in the Asia Pacific Region were examined. The forum was chaired by Gary Johnston of AXISS Australia. Dr John Edwards spoke on “China’s Rise and the Changing Pattern of APEC Capital Flows”, Mr Bill Evans about “Financial Deregulation in Asia: Implications for Global Financial Markets” Mr Stephen Halmarick discussed “Australia’s Fiscal Policy Outlook and the Role of the Future Fund”, Mr Stephen Koukoulas reflected on “The Changing Face of the Australian Bond Market” and Mr Richard Gibbs questioned “Australia and APEC: Exporting Expertise and Equity?” The School is very grateful for the financial support given by the Australasian Institute of Banking and Finance, AXISS Australia, Barclays Global Investors, The Reserve Bank of Australia, The Department of State and Regional Development, SIRCA, Sydney Futures Exchange, FIRN and the Faculty of Commerce and Economics. Also greatly appreciated is the partnership and close involvement of the Journal of Banking and Finance with this conference. Without their generous assistance, it would have been impossible to present a Conference of such high standing. Special thanks go to the Conference Administrators, Stephanie Osborne, Taline Tabakyan and Belinda Walter as well as Shirley Webster and Kaaren Watts. Thanks go also to Vincent Tang and Frank Golino for their photo coverage of the presentations and social events of the conference and the numerous PhD students – Andrew Ainsworth, Zaäfri Husodu, Hanh Le, Adrian Lee, Meiting Lu, Huong Nguyen, Quang Nguyen, Tho Ngyuen, Yaowen Shan, Shu Tian, Geraldo Viaganò, Pei Pei Wang, Eddy Wu and Jian Wei - who assisted over the three days. Finally, particular thanks and special recognition go to Professor Fariborz Moshirian, the Conference Convenor. Without his superlative and tireless efforts, and unfailing enthusiasm the Conference would not be the international success it currently is. A listing of the 2006 Conference papers and presenters is provided in Table 26. ALUMNI All graduates are encouraged to participate as members of the Finance Alumni. Benefits include: Future Meet the CEO series Meet the CFO series Newsletters Access to School Research and Working Papers Golf Networking Day Invitations to other FCE sponsored events Access the School staff for consulting and research Discounted Registration at the Australasian Finance and Banking Conference. Alumni have a personal alumni email address in the form of eg j.smith@alumni.unsw.edu.au. Some of the advantages are that this will allow alumni to maintain better contact with UNSW friends and will give them a means of receiving up-to-the minute news on University activities and the opportunities for continuing study. The service has an online directory, accessed via a website. New graduates will be offered an automatic upgrade from their student email address to an alumni address.

19

Tables

20

TABLE 1

Full Time Equivalent of Full and Fractional Academic Staff by Classification and Sex: 2006

*Professor (Level E)

Associate Professor (Level D)

Senior Lecturer (Level C)

Lecturer (Level B)

Casual

Total

FTE % FTE % FTE % FTE % FTE % FTE %

Female 4 3 0.3 0 7.3 Male 4.8 4.1 14 3 2.9 0 28.8 Total 4.8 4.1 18 6 3.2 36.10 100

TABLE 2

FTE of Full, Fractional & Casual Staff By Function and Classification 2006

Academic General Level

E Level

D Level

C Level

B Level

A FT/FFT

Total

Casual (est

Total FT/FFT Gen Cas est)

Total Total

4.8 4.1 18 6 32.90 3.2 36.10 6.0 3.5 9.5 45.60

TABLE 3

Student Load (EFTSU) Taught in Banking & Finance and Level of Program at 31/8/2006

Funding Type Doctorate Masters Masters PG Dip, Total – All Courses Research Research C/work Bachelor Other Cert, Qual TOTAL

EFTSU EFTSU EFTSU EFTSU EFTSU EFTSU EFTSU International Aust Sponsored 0.5 0.8 1.3 Fee Paying 16.0 114.4 234.1 0.4 0.3 365.2 Subsidised 0.5 0.6 1.1 Study Abroad 17.3 17.3 Total 17.0 115.8 234.1 17.6 0.3 384.8 Local Non Award . . . . 0.4 0.4 HECS . 5.1 465.8 0.8 1.9 473.6 O-time Research 1.8 1.8 . . . 3.6 PG Fee Paying . . 136.3 . 0.3 0.9 137.5 Res Train Scheme 20.5 3.0 . . . . 23.5 UG Fee Paying . . . 21.7 . . 21.7 Total 22.3 4.8 141.4 487.5 1.4 2.8 660.2

TOTAL 39.3 4.8 257.1 721.6. 19.0 3.0 1044.8

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TABLE 4 Students Graduated in Finance

BCom Hons Total

U/G MCom MFin MCom

Hons PhD Total

P/G Total

2001 395 7 402 160 3 163 565 2002 441 3 444 268 1 1 269 713 2003 464 16 480 255 4 259 739 2004 520 14 534 157 3 1 161 695 2005 516 17 533 185 8 3 196 729 2006 458 9 467 157 29 3 1 190 657

22

TABLE 5

Recent UAI Trends The University of New South Wales TER/UAI cut-off by program, 1993 - 2006

Faculty/Program 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 (1) (2) Commerce and Economics BCom 93.80 91.70 92.60 90.20 90.20 94.75 94.10 94.35 94.50 94.50 95.50 96.00 95.00 93.00BCom BA 90.20 94.75 94.10 94.35 94.50 94.50 95.50 96.00 95.00 93.00BCom (Finance) BSc (Maths) 91.70 92.50 90.20 90.20 94.75 94.10 94.35 94.50 94.50 95.50 96.00 95.00 93.00BCom (Finance) BSc (Adv) 94.50 95.50 96.00 95.00BCom BSocSc 89.30 94.50 94.50 95.50 96.00 95.00 93.00BEc 90.85 87.25 87.85 86.20 86.25 92.10 89.30 89.00 90.10 91.00 93.15 93.00 90.05 85.00BEc BA 86.25 92.10 89.30 89.00 90.10 91.00 93.15 93.00 90.05 85.00BEc BSocSc 89.30 90.10 91.00 93.15 93.00 90.05 85.00BComLLB, BEcLLB 99.30 99.30 99.35 99.15 99.20B Eng (Software) BCom 95.40 93.00B Eng B Com 95.00 93.00

Notes:

(1) During the years 1993 to 1998 the TER (Tertiary Entrance Rank), with a maximum

rank of 100.0 was used to

assess students for admission to undergraduate courses.

(2) From 1999 the TER was replaced by the UAI (Universities Admission Index) with a

maximum of 100.00.

(3) Courses not listed above do not use HSC aggregates/TER/UAI as a basis for

admission.

(4) From 1 January 2003 the Faculties of Life Sciences and Science and Technology were

brought together into a single Faculty of Science

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TABLE 6 Students Enrolled in Postgraduate Programs in Finance 2006

Degree Program Session 1 Totals

Session 2 Totals

Research Degrees

PhD MCom (Hons) MPhil

Banking & Finance (FINSCR1561) Banking & Finance( FINSCR2574) Banking & Finance (FINSCR2585)

44 4 4

43 1 4

Coursework Degrees

MCom

Banking (FINSDS8404)

53

53

MCom Funds Management (FINES8404)

90

99

MCom Finance (FINSAS8404)

351 402

MCom Advanced Finance (FINSBS8404)

0 0

MCom

International Finance (FINSFS8404)

78 83

MCom Risk Management & Insurance (FINSGS8404)

0

0

MCom Financial Econometrics (COMMCS8404)

26 7

MFin

General Finance (FINSFS8406)

63 92

MFin Corporate Finance (FINSGS8406)

8 32

MFin Applied Finance (FINSAS8406)

26 22

MFin Investment Banking (FINSDS8406)

9 28

MFin Investment Management (FINSES8406)

2

1

MFin International Finance (FINSHS8406)

8 40

MFin Funds Management (FINSIS8406)

18 46

MFinAnalysis 0

24

TABLE 7 UNDERGRADUATE Enrolment by Course 2006

Number Course Name Session 1 Session 2

FINS1612 Capital Markets and Institutions

743 367

FINS1613 Business Finance

599 589

FINS2622 Emerging Capital Markets

54 102

FINS2624 Portfolio Management

340 462

FINS2643 Wealth Management 89 183

FINS3616 International Business Finance

259 469

FINS3623 Venture Capital

- 125

FINS3625 Applied Corporate Finance

120 106

FINS3626 International Corporate Governance

92 -

FINS3630 Bank Financial Management

197 148

FINS3634 Credit Analysis & Lending

67 -

FINS3635 Options, Futures & Risk Management

137 103

FINS3636 Interest Rate Risk Management

- 65

FINS3640 Investment Management Modeling

71 75

FINS3641 Security Analysis and Valuation - 63

FINS3642

Strategies for Investment Management

- 15

FINS3650 International Banking - 133

FINS3651 International Insurance Management

27 -

FINS4774 Financial Decision Making Under Uncertainty 10 -

FINS4776 Advanced Topics in Asset Pricing

10 -

FINS4777

Advanced Topics in Corporate Finance 10 -

FINS4779 Research Methods in Finance 2

10 -

FINS4781 Special Topics in Finance - -

FINS4795 Thesis (Finance) - 9

GENC3003 User's Guide to Personal Financial Planning

125 147

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TABLE 8 POSTGRADUATE Enrolment by Course 2006

Number Course Name Session 1 Session 2 Summer

FINS5000 Research and Banking & Finance 32 32 -

FINS5001 Research in Banking & Finance 13 11 -

FINS5510 Personal Financial Planning & Management 23 - -

FINS5511 Corporate Finance 73 98 53

FINS5512 Financial Markets & Institutions 100 99 -

FINS5513 Investments & Portfolio Selection 115 118 18

FINS5514 Capital Budgeting & Financial Decisions 87 125 -

FINS5515 Issues in Corporate Finance - - -

FINS5516 International Corporate Finance 71 82 57

FINS5517 Applied Portfolio Management & Modeling 56 50 -

FINS5522 Emerging Financial Markets - 13 -

FINS5523 Venture Financing 23 - -

FINS5530 Financial Institution Management 83 125 -

FINS5531 Risk and Insurance - - -

FINS5533 Real Estate Finance & Investment - 47 -

FINS5534 Strategy Management of Credit Risk & Loan Policy 27 24 -

FINS5535 Derivatives & Risk Management Technology 81 129 -

FINS5536 Fixed Income Securities & Interest Rate Derivatives 20 - -

FINS5541 Advanced Investment & Funds Management 11 - -

FINS5542 Applied Funds Management 26 27 -

FINS5550 International Banking Management - 54 -

FINS5551 International Insurance Management 19 35 -

FINS5566 Trading in Financial Securities 19 - -

FINS5574 Foundations of Financial Decision Making Under

Uncertainty

6 - -

FINS5575 Research Methods in Finance 1 2 3 -

FINS5576 Advanced Topics in Asset Pricing 5 - -

FINS5577 Advanced Topics in Corporate Finance 6 - -

FINS5579 Research Methods in Finance 2 7 - -

FINS5591 Special Topic in Finance - - -

FINS5594 MCom (Hons) Thesis F/T - - -

FINS5598 Project Seminar - - -

FINS5599 Project Report - - -

FINS6001 MCom (Hons) Thesis P/T 6 5 -

TABLE 9

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Master of Finance Program 2006

MASTER OF FINANCE (Finance) Code: FINSFS8406 The following courses are required: 4 Core Courses MFIN6201 Empirical Techniques and Applications in

Finance MFIN6205 Financial Risk Management for Financial Institutions MFIN6210 Empirical Studies in Finance MFIN6214 Financial Theory and Policy Any four from the following electives: FINS5516 International Corporate Finance FINS5517 Applied Portfolio Management & Marketing FINS5522 Emerging Financial Markets FINS5523 Alternative Asset Classes FINS5530 Financial Institutions Management FINS5531 Risk & Insurance FINS5533 Real Estate Finance & Investment FINS5534 Strategic Management of Credit Risk & Loan Policy FINS5535 Derivatives & Risk Management Techniques FINS5536 Fixed Income Securities & Derivatives FINS5541 Advanced Investment & Funds Management FINS5542 Applied Funds Management FINS5550 International Banking Management FINS5551 International Insurance Management FINS5566 Electronic Financial Trading MARK5816 Services Marketing MFIN6211 Structured Finance Law MFIN6212 Taxation of Financial Arrangements MFIN6213 Research Project OTHER any approved course by HoS, B&F MASTER OF FINANCE (Funds Management) Code: FINSIS8406 The following courses are required: 4 Core Courses MFIN6201 Empirical Techniques and Applications in

Finance MFIN6205 Financial Risk Management for Financial Institutions MFIN6210 Empirical Studies in Finance MFIN6214 Financial Theory and Policy Any four from the following electives: FINS5517 Applied Portfolio Management & Marketing FINS5523 Alternative Asset Classes FINS5530 Financial Institutions Management FINS5533 Real Estate Finance & Investment FINS5534 Strategic Management of Credit Risk & Loan Policy FINS5535 Derivatives & Risk Management Techniques FINS5536 Fixed Income Securities & Derivatives FINS5541 Advanced Investment & Funds Management FINS5542 Applied Funds Management MARK5816 Services Marketing MFIN6213 Research Project OTHER any approved course by HoS, B&F

MASTER OF FINANCE (Corporate Finance) Code: FINSGS8406 The following courses are required: 4 Core courses MFIN6201 Empirical Techniques and Applications in

Finance MFIN6205 Financial Risk Management for Financial Institutions MFIN6210 Empirical Studies in Finance MFIN6214 Financial Theory and Policy Any four from the following electives: FINS5516 International Corporate Finance FINS5523 Alternative Asset Classes FINS5531 Risk & Insurance FINS5533 Real Estate Finance & Investment FINS5535 Derivatives & Risk Management Techniques MARK5816 Services Marketing MFIN6211 Structured Finance Law MFIN6212 Taxation of Financial Arrangements MFIN6213 Research Project OTHER any approved course by HoS, B&F MASTER OF FINANCE (International Finance) Code: FINSHS8406 The following courses are required: 4 Core Courses MFIN6201 Empirical Techniques and Applications in

Finance MFIN6205 Financial Risk Management for Financial Institutions MFIN6210 Empirical Studies in Finance MFIN6214 Financial Theory and Policy Any four from the following electives: FINS5516 International Corporate Finance FINS5522 Emerging Financial Markets FINS5523 Alternative Asset Classes FINS5535 Derivatives & Risk Management Techniques FINS5550 International Banking Management FINS5551 International Insurance Management MARK5816 Services Marketing MFIN6213 Research Project OTHER any approved course by HoS, B&F

27

Master of Finance Program 2006 (cont’d) MASTER OF FINANCE (Investment Banking) Code: FINSDS8406 The following courses are required: 4 Core Courses MFIN6201 Empirical Techniques and Applications in

Finance MFIN6205 Financial Risk Management for Financial Institutions MFIN6210 Empirical Studies in Finance MFIN6214 Financial Theory and Policy Any four from the following electives: FINS5523 Alternative Asset Classes FINS5530 Financial Institutions Management FINS5531 Risk & Insurance FINS5533 Real Estate Finance & Investment FINS5534 Strategic Management of Credit Risk & Loan Policy FINS5535 Derivatives & Risk Management Techniques FINS5536 Fixed Income Securities & Derivatives FINS5566 Electronic Financial Trading MARK5816 Services Marketing MFIN6211 Structured Finance Law MFIN6212 Taxation of Financial Arrangements MFIN6213 Research Project OTHER any approved course by HoS, B&F

28

TABLE 10 PRIZES 2006 Donor $ Amount Recipient Course Sponsored The Citigroup Global 500 Erica Wong FINS3650 Markets Prize in International Banking International Banking The Deutsche Bank 500 Linda Wang FINS3640 Financial Modelling for Funds Management Research Methods in Finance 500 Thi Dieu Thuy FINS3635 The University Medal 500 Mark Humphery Awarded to an undergraduate student who has shown highly distinguished merit and,

where honours were awarded, has performed at an honours level significantly above the

minimum required for Class 1honours ______________________________________________________________________________________ TABLE 11

Recipients of the AXISS Scholar Award 2006

Scholar’s Name

Sponsor’s Name

Value of the Scholarship

Brian Jo Timothy Peters Arlene Wong

AXISS AXISS RESERVE BANK OF AUSTRALIA

$10,000

$10,000

$10,000

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TABLE 12

Banking & Finance Recipients of Faculty Fourth-year Honours Scholarships

Family Name First name Faculty Total

Carlton Grant $5,000 $5,000

Le An Tu $5,000 $5,000

Pearl Joshua $5,000 $5,000

Vantol Vanessa $5,000 $5,000

Warwick Negus Honours Scholarship in Banking and Finance Family Name First name Faculty Total

Humphery Mark $5,000 $5,000

The Dean’s Award for Service Family Name First name Chok Sue-Lynne Muhunthan Sri Rangan

30

TABLE 13

Research Areas of Interest 2006

Prof Chris Adam • International corporate finance • Exchange rate economics and financial intermediaries • Financial strategy Professor Mike Aitken Security market design with a particular interest in market integrity assessment and the design of

information systems for real-time fraud detection Professor Les Balzer Investment risk and utility Optimal portfolio construction involving

Downside risk measures Multiple objectives Multiple time periods

Optimal execution & transition management in equity markets Hedge funds

Return drivers & risk factors Optimal asset allocation to hedge funds Manager selection & funds of hedge funds

Application of dynamic systems & control theory to investment Associate Professor Ram Bhar Research Fields: Quantitative finance Advanced econometrics Computational issues

Current Research Interests: Hidden Markov models Estimation of stochastic volatility models State space models with Markov switching Non-fundamental component of asset price Dynamic Bayesian algorithm Portfolio flows and its impact on asset prices Independent component analysis for factor models Credit risk modelling

Professor Philip Brown Disposition effect Stock price clustering Accuracy and bias in security analysts’ earnings and dividend forecasts The role accounting reports play in informing financial markets

Dr Zhian Chen Corporate governance Market microstructure Chinese equity markets

Dr David Colwell Quantitative finance Derivative securities Fixed income securities and interest rate derivatives

31

Financial applications of Stochastic calculus Associate Professor Douglas Cumming Venture capital and private equity Initial public offerings Law and finance

Mr Vic Edwards Payment cards and payment systems Financial management of financial institutions Credit monitoring systems

Associate Professor John Evans Funds management Pension & superannuation funds Financial institution risk management Analysis of securitization market in Australia

Associate Professor David Feldman Investments Asset pricing Incomplete information Statistical estimation-filtering Derivatives Information economics Real estate finance/economics Law and finance/economics

Dr Kingsley Fong Market microstructure Funds management Investment strategies

Prof Doug Foster Commodities pricing Experimental finance Financial intermediation Funds management Information economics Options Portfolio analysis Quantitative finance Risk management

Associate Professor David Gallagher Investment Management Performance measurement Portfolio design and trading strategies Risk management Corporate governance and incentive arrangements Behavioural finance Regulation and monitoring Superannuation

Dr Ron Guido • Asset pricing • Bayesian analysis • Market microstructure • Financial econometrics

32

Mrs Julia Henker Behavioural finance Asset pricing in behavioural finance

Dr Thomas Henker • Market microstructure • Alternative investments • Portfolio management Dr Vince Hooper Emerging capital markets

Assoc Prof Suk-Joong Kim International finance Foreign exchange intervention International financial market linkages

Professor Robert Kohn Bayesian methodology Variable selection and model averaging; Nonparametric regression models Time series modeling Multivariate Gaussian and non-Gaussian regression Markov chain Monte Carlo simulation algorithms

Dr Donghui Li Firm bankruptcy Investment banking International finance Risk and insurance Initial public offerings Chinese capital market Mergers and acquisitions (M&As) Managerial compensation Diversification and globalisation Institutional shareholding and firm value Chinese and Australian corporate governance

Dr Raymond Liu Market Microstructure Political economy Applied theory of specialization and division labor Economics of corruption and white collar crime

Professor Fariborz Moshirian International finance Corporate governance Corporate finance International banking Asian financial markets integration

Dr Pascal Nguyen Asset pricing Corporate governance Capital structure Dividend policy Risk management Behavioural finance Trading strategies Japanese banks & markets

33

Dr Sian Owen Mergers and acquisitions IPO’s Divestitures Behavioural finance

Dr Jerry Parwada Investment management industry Investor behaviour Emerging financial markets

Dr Peter Pham Corporate governance Ownership structure Financial institutions Initial Public offerings Volatility modelling

Associate Professor Toan Pham Corporate finance Interest rate Exchange rate Stock return volatility

Dr Ronan Powell Takeovers – modelling Predication and wealth effects International corporate governance Economic shocks and their impact on firm and industry restructuring Performance measurement Information asymmetry Capital structure and pricing Economic aspects of accounting measurement

Dr Jonathan Reeves Financial econometrics Risk management International Finance

Professor Ian Sharpe Banking management Bank regulation Loan/Debt contract terms

Associate Professor Ah-Boon Sim Financial econometrics International finance Portfolio management Risk management Term structure of interest rates Time series models Stock dynamics

Dr Jo-Ann Suchard Initial public offerings Seasoned offerings Venture capital Corporate governance

34

Professor Peter Swan Asset pricing Corporate governance Executive compensation Market microstructure

Dr Yuan (Gloria) Tian Corporate governance and company performance Executive compensation Mergers and takeovers

Dr Kathy Walsh • Asset pricing • Bayesian analysis • Regime switching Professor Terry Walter 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 Changes in shareholder ownership and information releases

Dr Jian-Xin Wang Market microstructure Trading mechanisms and price discovery in financial markets Asian emerging capital markets

Dr Kathryn Wong Activities of securities market participants Securities market regulation Initial public offerings Market microstructure Behavioural finance

Dr Eliza Wu Financial market integration International financial market dynamics and linkages Emerging and European financial markets Exchange rate regimes financial markets

Dr Li Yang Futures trading and hedging Futures contract design and its effects on the underlying markets Option valuation Volatility estimation

Dr Alfred Yawson Corporate restructuring Interrelationship between restructuring events Corporate turnaround strategies International corporate finance Corporate governance Project finance

Dr Henry Yip Investments Market microstructure

35

Dr Jason Zein International corporate governance International financial integration Financial services Forecasting financial market volatility

__________________________________________________________________________________

36

TABLE 14 Working Papers 2006

No

Author(s) Title of Working Paper

2006 - 05 Ramaprasad Bhar and Nedim Handzic A Multifactor Model of Credit Spreads

2006 - 04

Elor Dishi, David R. Gallagher and Jerry T. Parwada

Do institutional investors monitor top management turnover? Evidence from superannuation fund mandate terminations

2006 - 03

Pak To Chan, Vic Edwards and Terry Walter

The Information Content of Australian Credit Ratings: A Comparison between Subscription and Non-subscription based Credit Rating Agencies

2006 - 02 Sian Owen The History and Mystery of Merger Waves: A UK

and US Perspective

2006 - 01

David R. Gallagher, AeLee Jun and Graham H. Partington

An Examination of Institutional Dividend Clienteles: Evidence from Australian Institutional Portfolio Holdings

__________________________________________________________________________________ TABLE 15

Professional Activities and Community Service

Name Activity Service Balzer, Les S&P/ASX Index Advisory Panel Member Financial Integrity Research Network Executive Committee Bhar, Ram The European Journal of Finance Associate Editor IASTED (International Association for On the Technical Committee Science and Technology for Development, on the Financial Engineering Calgary, Canada) for the term 2003-2006 Brown, Philip Abacus Editorial Board Accounting and Business Research Editorial Board Accounting and Finance Editorial Board International Review of Finance Editorial Board

37

Journal of Business Finance and Editorial Board Accounting Pacific-Basin Finance Journal Editorial Board Evans, John Journal of Economics and Business Referee UNSW Teams in BCG Strategy Manager Competition Centre for Superannuation and Acting Director Pensions 13th Colloquium of Superannuation Manager Researchers Learning Partnership Program Coordinator Master of Applied Finance, FINSIA Guest Lecturer Masters Thesis, Master of Applied Reviewer Finance, FINSIA Feldman, David Review of Financial Studies 2 Referee Reports European Economic Review 2 Referee Reports Real Estate Finance and Economics 2 Referee Reports European Financial Management Referee Report European Finance Association Annual Program Committee Member

Meeting Wallander Foundation, Svenka Reviewer, Multiyear

Handelsbank, Sweden Postdoctoral Scholarship Lund University, Sweden Faculty Opponent, Phd Viva Voca Tel-Aviv University, Israel Reviewer, PhD Proposal The University of New South Wales 3 Research Seminar Presentations The University of Melbourne Research Seminar Presentation Tel-Aviv University, Israel Research Seminar Presentation Lund University, Sweden Research Seminar Presentation North America Winter Meetings of Chaired a session: the Economics Society, joint with Presented a paper the American Economic Assoc Scheduled to discuss a paper The Australian Finance and Banking Presented a paper Conference Finance and Accounting in Tel-Aviv Discussed a paper Fong, Kingsley Journal of Multinational Financial Referee Management Australian Journal of Management Referee The European Journal of Finance Referee Management CFA Institute Member Sydney Society of Financial Analysts Member Foster, Doug Accounting and Finance Editorial Board Australian Journal of Management Finance area co-editor Gallagher, David ARC Assessor Australian Journal of Management Area Editor –Finance CFA Society of Sydney Guest Speaker Co-op Finance Program Co-Director Fund Executives Association Limited Guest Speaker SIRCA Limited Research Director UNSW Investment Management Convener

38

Henker, Thomas Chartered Alternative Investment Curriculum Committee Analyst Association CFA Institute Member Sydney Society of Financial Analysts Member Centre for International Security & Research Associate Derivative Markets, USA Liu, Raymond FMA Conference, Chicago USA Conference Presentation Memorial Conference of Prof Ziaokai Workshop Presentation Yang, Inframarginal Economics, National University of Taiwan, Taipei Taiwan Moshirian, Fariborz Journal of Banking and Finance Advisory Board Member Journal of Multinational Financial Associate Editor Management Powell, Ronan Journal of Business and Finance Referee report Journal of Business Finance and 3 referee reports Accounting Pacific Accounting Review Referee report The University of Melbourne Research seminar presentation University of Technology Research seminar presentation Sydney Sharpe, Ian ARC Assessor FMA Presented a paper Walter, Terry ARC Assessor Accounting and Finance Editorial Board Abacus Editorial Board International Review of Finance Editorial Board

National Education Committee for the Institute of Chartered Secretaries Member NSW Regional Council for the Australasian Institute of Banking and Finance Member M42 Course Advisory Committee for the Securities Institute of Australia Member Board for the Pooled Development Fund Registration Board Member The Hong Kong Polytechnic University's Master of Corporate Governance External Examiner

39

TABLE 16 Research Grants 2006 Name of Grant

Researcher(s)

Project Title

2006

ARC Discovery Grant

Peter Swan Illiquidity, Momentum Traders, Incentives, And Book To Market: Explaining And Testing The Factor Drivers Of Stock Market Returns

$78,195

ARC Discovery Grant

Peter Swan Illiquidity, Momentum Traders, Incentives, And Book To Market: Explaining And Testing The Factor Drivers Of Stock Market Returns

$67,805

ARC LP David Gallagher An Examination of Strategic Investment Arrangements

for Institutional Investors: The Case for Centralised Portfolio

$65,000

ARC Discovery Peter Swan

David Felddman Peter Westerholm

Fragmentation, Globalization and the Architecture of Stock Markets: How should the ASX be redesigned to ensure its long-term survival?

$145,000

ARC Linkage Jo-Ann Suchard The Contribution of the Private Equity and Venture

Capital Industry to the Australian Economy and Society $25,250

ARC Discovery Grant

Terry Walter, Carole Comerton-Forde David Gallagher

An Examination of the Structure, Performance, Trading Activity and Portfolio Compositions of Small-Cap Equity Managers

$100,000

ARC DP0558712 Jo-Ann Suchard

Ian Sharpe An analysis of capital raising by Australian listed firms : The Factors that drive the choice of type of security and issue method

$47,000

ARC Discovery Grant

Robert Kohn, David Nott

Efficient Estimation of Statistical Models with Many Parameters

$110,000

ARC Discovery Grant

Philip Brown, Andrew Ferguson

Tax Loss Selling: Implications for Investor Share Trading Behaviour and Industry Effects

$65,000

Capital Markets CRC

Mike Aitken The Efficiency and Integrity of 40 World Markets $66,131

Capital Markets CRC

Mike Aitken Microstructure of Securities Markets Scholarship - Scholarship - Annica Rose:

$50,000

Capital Markets CRC

Mike Aitken High Achievers Scholarship – Ho Yin Lai $50,000

Capital Markets CRC

High Achievers Scholarship – Yan Ainslee Ling $30,000

Capital Markets CRC

Terry Walter Postgraduate Scholarship - Marcela Whitehead – The Microstructure of Markets

$18,836

Capital Markets CRC

Mike Aitken Capital Markets CRC Limited CMCRC Summer Scholarship and High Achievers - A Dong

$5,000

Capital Markets CRC

Mike Aitken Capital Markets CRC Limited CMCRC Summer Scholarship and High Achievers – S Hamano

$5,000

Capital Markets CRC

Mike Aitken Market Design – Scholarship for Rowan Cook $24,474

Capital Markets CRC

Mike Aitken Postgraduate Scholarship – Bruce Arnold – The Microstructure of Alternative Securities Markets

$18,400

40

TABLE 17 Research Grants 2006 (Cont’d) Name of Grant

Researcher(s)

Project Title

2006

Goldstar Award Fari Moshirian

Suk-Joong Kim Eliza Wu

The Financial Consequences of Asia Financial Market Integration for Australia

$40,000

FRG Donghui Li

Jason Zein Peter Pham

What Determines Large Shareholding of Foreign Financial Institutions

$13,000

Eliza Wu Time-Varying market Integration and Stock and Bond

Return Coupling in Emerging Markets

$20,000

Ronan Powell John Taylor

Off-shore Expansion: the Impact on Shareholder Returns, Corporate Taxation and Financing Policy

$18,500

SRG Zhian Chen The Short-term Reaction and Long-term Performance

of Share Prices Following the Seasoned Equity Offerings in China

$5,000

SRG

Raymond Liu

Closed-Fund Puzzle and the Attributes of the Underlying Portfolio

$5,000

SRG Peter Pham Firm Level Determinants of Institutional Ownership and

Allocation Decisions in Emerging Markets $5,000

SRG

Kathy Walsh Capital Structure Arbitrage as a Hedge Fund Strategy $4,944

41

TABLE 18

Research Funding 1987 – 2006

Year

Australian Research

Council Grants

Special Research

Grants

Other Research

Grants

CRC

Grants*

Total

1987

$12,400

$27,651

$40,051

1988 $124,000 $27,651 $40,051

1989 $14,150 $18,000 $11,000 $44,150

1990 $81,600 $14,000 $11,000 $106,600

1991 $75,982 $32,400 $108,382

1992 $82,094 $29,400 $12,625 $124,119

1993 $64,952 $22,860 $7,250 $95,062

1994 $33,000 $21,494 $3,660 $58,454

1995 $23,099 $34,565 $57,192 $114,856

1996 $35,000 $7,500 $23,983 $66,483

1997 $77,591 $17,753 $3,000 $98,344

1998 $103,710 $23,186 $8,000 $134,896

1999 $168,495 $23,735 $43,617 $235,847

2000 $130,035 $25,226 $64,800 $220,061

2001 $81,000 $12,931 N/A $93,931

2002 $370,113 $10,500 $23,500 $4,277,883 $4,681,996

2003 $336,770 $17,680 $43,000 $538,708 $936,158

2004 $259,364 $276,00 $45,000 $463,635 $795,599

2005 $445,434 $21,283 $114,692 $111,717 $693,126

2006 $703,500 $19,944 $91,500 $267,841 $1,182,785

* The Capital Markets Cooperative Research Centre involves four university partners, The University of New South Wales, The University of Sydney, The University of Technology, Sydney and Macquarie University. The University of New South Wales has the largest interest in the CRC.

42

TABLE 19 __________________________________________________________________________________

2006 PUBLICATIONS

Journal Articles Allen, D. & *Parwada, JT., 2006, 'Investors' response to mutual fund company mergers', in International Journal of Managerial Finance, vol 2(2), pp. 121 - 135. *Bhar, R. & Hamori, S., 2006, 'Empirical investigation on the relationship between Japanese and Asian emerging equity markets', in Applied Financial Economics Letters, vol 2(2), pp. 77 - 86. *Bhar, R. & Hamori, S., 2006, 'Linkages among agricultural commodity futures prices: some further evidence from Tokyo', in Applied Economics Letters, vol 13(8), pp. 535 - 539. *Bhar, R., Chiarella, C., Hung, H. & Runggaldier, W., 2006, 'The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach', in Automatica, vol 42(8), pp. 1381 - 1393. Blailey, L., Lee, P. & *Walter, TS., 2006, 'IPO flipping in Australia: Cross-sectional explanations', in Pacific-Basin Finance Journal, vol 14(4), pp. 327 - 348. *Brands, S., *Gallagher, DR. & *Looi, AB., 2006, 'Active investment manager portfolios and preferences for stock characteristics', in Accounting & Finance, vol 46(2), pp. 169 - 190. *Brands, S., Brown, SJ. & *Gallagher, DR., 2006, 'Portfolio concentration and investment manager performance', in International Review of Finance, vol 5(3-4), pp. 149 - 174. *Brown, PR., Beekes, W., 2006, 'Do better governed Australian firms make more informative disclosures?', in Journal of Business Finance and Accounting, vol 33(3 & 4), pp. 422 - 450. *Brown, PR., Gallery, G., Goei, O., 2006, 'Does market misvaluation help explain share market long run underperformance following a seasoned equity offering?', in Accounting & Finance, vol 46(2), pp. 191 - 219. *Brown, PR., Ferguson, AC., Stone, K., 2006, 'Share repurchase plans', in JASSA, vol 46(1), pp. 18 - 23. Coleman, A., *Sharpe, IG. & Esho, N., 2006, 'Does bank monitoring influence loan contract terms?', in Journal of Financial Services Research, vol 30(2), pp. 177 - 198. Chan, DG., *Kohn, R. & Kirby, C., 2006, 'Multivariate stochastic volatility models with correlated errors', in Econometric Reviews, vol 25(2-3), pp. 245 - 274. Cripps, EJ., *Kohn, R. & Nott, DJ., 2006, 'Bayesian subset selection and model averaging using a centred and dispersed prior for the error variance', in Australian & New Zealand Journal of Statistics, vol 48(2), pp. 237 - 252. *Cumming, DJ., Fleming, G. & Schwienbacher, A., 2006, 'Legality and venture capital exits', in Journal of Corporate Finance, vol 12(2), pp. 214 - 245. Esho, N., Kollo, M. & *Sharpe, IG., 2006, 'Eurobond Underwriter Spreads', in Accounting & Finance, vol 46(1), pp. 71 - 95. *Evans, JR., *Guido, R. & *Guo, MJ., 2006, 'Analysing Sustainable Securities', in JASSA, vol 1, pp. 29 - 32. *Fong, KY., *Gallagher, DR. & *Ng, A., 2006, 'The use of derivatives by investment managers and

43

implications for portfolio performance and risk', in International Review of Finance, vol 5(1-2), pp. 1 - 29. Frino, A., *Gallagher, DR. & Oetomo, T., 2006, 'Further evidence of the liquidity and information components of institutional orders: Active versus passive funds', in Pacific-Basin Finance Journal, vol 14(5), pp. 439 - 452. *Gallagher, DR., 2006, 'Thirty years of published research in the Australian Journal of Management', in Australian Journal of Management, vol 31(1), pp. 141 - 160. *Gallagher, DR., *Nadarajah, P. & Pinnuck, M., 2006, 'Top management turnover: An examination of portfolio holdings and fund performance', in Australian Journal of Management, vol 31(2), pp. 265 - 292. *Gallagher, DR. & Pinnuck, M., 2006, 'Seasonality in fund performance: An examination of the portfolio holdings and trades of investment managers', in Journal of Business, Finance and Accounting, vol 33(7-8), pp. 1240 - 1266. *Gallagher, DR. & *Gardner, PA., 2006, 'The implications of blending specialist active equity fund management', in Journal of Asset Management, vol 7(1), pp. 31 - 48. *Gallagher, DR. & *Looi, AB., 2006, 'Trading behaviour and the performance of daily institutional trades', in Accounting & Finance, vol 46(1), pp. 125 - 147. *Henker, JL., *Henker, T. & Mitsios, A., 2006, 'Do investors herd intraday in Australian equities', in International Journal of Managerial Finance, vol 2(3), pp. 196 - 219. *Henker, T. & *Wang, J., 2006, 'On the importance of timing specifications in market microstructure research', in Journal of Financial Markets, vol 9(2), pp. 162 - 179. *Kim, SJ., Lucey, B. & *Wu, EW., 2006, 'Dynamics of bond market integration between established and new European Union countries', in Journal of International Financial Markets Institutions and Money, vol 16(1), pp. 41 - 56. *Kim, SJ., *Moshirian, F. & *Wu, EW., 2006, 'Evolution of international stock and bond market integration: Influence of the European Monetary Union', in Journal of Banking & Finance, vol 30(5), pp. 1507 - 1534. *Kim, SJ. & Sheen, J., 2006, 'Interventions in the Yen-Dollar spot market: A story of price, volatility and volume', in Journal of Banking and Finance, vol 30(11), pp. 3191 - 3214. *Kim, SJ. & Pham, C., 2006, 'Is foreign exchange intervention by central banks bad news for debt markets?', in Journal of International Financial Markets Institutions and Money, vol 16(5), pp. 446 - 467. Kollo, M. & *Sharpe, IG., 2006, 'Relationships and underwriter spreads in the Eurobond floating rate loan market', in Journal of Financial Research, vol 29(2), pp. 163 - 180. *Li, D., *Moshirian, F., *Pham, KP. & *Zein, J., 2006, 'When financial institutions are large shareholders - The role of macro corporate governance environments', in Journal of Finance, vol 61(6), pp. 2975 - 3007. Lien, D. & *Yang, L., 2006, 'Spot-futures spread, time-varying correlation, and hedging with currency futures', in Journal of Futures Markets, vol 26(10), pp. 1019 - 1038. *Moshirian, F., 2006, 'Aspects of international financial services', in Journal of Banking & Finance, vol 30(4), pp. 1057 - 1064. *Owen, SA. & *Yawson, A., 2006, 'Domestic or International: Divestitures in Australian Multinational Corporations', in Global Finance Journal, vol 17(2), pp. 282 - 293.

44

*Owen, SA., *Yawson, A. & Cao, J., 2006, 'Evaluating the Market Reaction to UK Divestitures', in Management Research News, vol 29(8), pp. 471 - 479. *Parwada, JT. & Faff, R., 2006, 'Fund flows, MERs and managed fund ratings: Australian Evidence', in Journal of Investing, vol 15(3), pp. 69 - 78. Pitt, M., Chan, DG. & *Kohn, R., 2006, 'Efficient Bayesian inference for Gaussian copula regression models', in Biometrika, vol 93(3), pp. 537 - 554. *Suchard, JC. & Singh, M., 2006, 'The determination of the hybrid security issuance decision for Australian firms', in Pacific-Basin Finance Journal, vol 14(3), pp. 269 - 290. *Swan, PL., Merhebi, RM., Pattenden, K. & Zhou, X., 2006, 'Australian chief executive officer remuneration: Pay and performance', in Accounting & Finance, vol 46(3), pp. 481 - 497. *Walsh, KD., 2006, 'Is the ex ante risk premium always positive? Further evidence', in Australian Journal of Management, vol 31(1), pp. 93 - 113. *Yawson, A., 2006, 'Evaluating the characteristics of corporate boards associated with layoff decisions', in Corporate Governance-An International Review, vol 14(2), pp. 75 - 84. Conference Paper Liu, KB., Land, LP., *Edwards, TV., 2006, 'Knowledge sharing in financial credit reporting: An exploratory case study in an Australian context', in Proceedings of the Tenth Pacific-Asia Conference on Information Systems, eds , Kuala Lumpur, Malaysia, Malaysia, pp. 99 - 110

45

TABLE 20

Overseas Conference Funding 2006

Academic Dates Conference Place Funding

Zhian Chen 17-20 July China International Conference in Finance Xian, China

2,500 David Feldman 7-10 June 2006 FMA European Conference Stockholm,

Sweden 2,500

Kingsley Fong 8-10 June 30th Anniversary of the Journal of Banking and Finance Beijing,China

2,500 Thomas Henker

11-14 Oct FMA International Utah, USA 2,500

Vince Hooper 13-14 Dec 2006 NTU International Conference on Finance Taiwan

2,500 Suk-Joong Kim

23-25 Mar Midwest Finance Association 55th Annual Meeting Chicago, USA 2,500

Donghui Li 23-29 May Hawaii International Conference on Business Honolulu, Hawaii 2,500

Fariborz Moshirian

6-8 June 30th Anniversary of the Journal of Banking and Finance Beijing,China 2,500

Pascal Nguyen 10-12 July Asian FMA Auckland, New

Zealand 2,500

Sian Owen 28 June - 1

July European Financial Management Association Madrid, Spain

2,500 Jerry Parwada 25-27 Jan Southern African Finance Assoc. Meeting Cape Town,

South Africa 2,500

Peter Pham 11-14 Oct FMA International Utah, USA

2,500 Ronan Powell 28 June - 1

July European Financial Management Association Madrid, Spain

2,500 Jonathan Reeves

10-12 July 17th Annual Asian Finance Association meeting Auckland, New Zealand

2,500

Ah Boon Sim 14-17 Dec HKEA Biennial Conference 2006 Hong Kong

2,500 Terry Walter 1-12 July Asian FMA Auckland, New

Zealand 2,500

Kathleen Walsh

10-12 July Asian FMA Auckland, New Zealand

2,500

Jianxin Wang 10-12 July Asian FMA Auckland, New

Zealand 2,500

46

TABLE 20 (cont’d)

Academic

Dates

Conference

Place

Funding

Eliza Wu 6-8 June 30th Anniversary of the Journal of Banking and Finance Beijing,China

2,500 Eliza Wu 10 -12 July Asian FMA Auckland, New

Zealand 2,500

Li Yang 28 June-

1July European Financial Management Association Madrid, Spain

2,500 Alfred Yawson 28 June - 1

July European Financial Management Association Madrid, Spain

2,500 Henry Yip 28 June - 1

July European Financial Management Association Madrid, Spain

2,500 ___________________________________________________________________________________________

47

TABLE 21

Research Seminar Series 2006

Semester 1

Date Name Affiliation Title

14 Feb Andrew Stark Manchester Business School

Research Quality Framework: Assessing the quality and impact of research in Australia

16 Feb Morten Balling Aarhus Business School

Corporate governance ratings as a means to reduce asymmetric information

2 Mar Peter Dunne Queen’s University Belfast

International Order Flows: Explaining Equity and Exchange Rate Returns

9 Mar Sean Cleary St Mary’s University

Cash Flow Volatility, Financial Slack and Investment Decisions

16 Mar Marco Wilkens University of Ingolstadt

The Sharpe Ratio’s Market Climate Bias – Theoretical and Empirical Evidence from US Equity Mutual Funds

23 Mar Oliver Entrop University of Ingolstadt

The Valuation of Deposit Insurance in a Basel II Consistent Framework

30 Mar Jay Muthuswamy Griffith University

Non-synchronicity in asset prices and incorrect rejections of market efficiency

6 Apr Daniel Roesch University of Regensburg The Impact of PD Estimation Error in Basel II

13 Apr Bruce Grundy University of Melbourne

Combining Skill and Capital: Alternate Mechanisms for Achieving an Optimal Fund Size

20 Apr Frederick H. deB. Harris

Wake Forest University

Market Design and Execution Cost: Implications for Thinly-Traded Stocks

27 Apr Qi Zeng University of Melbourne

First Order Risk Aversion, Aggregation, and Asset Pricing

4 May Neal M. Stoughton

University of Calgary

Investment Management

11 May Ahmed M. Khalid Bond University Financial Market Contagion or Spillovers: Evidence

from Asian Crisis using Multivariate GARCH Approach

25 May Christine Brown University of Melbourne

The Relation between Share Repurchases and Dividends in an Imputation Tax Environment

18 Jul Ronald Masulis Vanderbilt University

Acquirer Returns When Targets Are Venture Capital Backed

48

Semester 2

27 Jul Sheila O'Donohoe Waterford Institute of Technology

Shareholders Returns in Domestic and Cross Border Acquisitions: Empirical Evidence from the UK in the Fifth Merger Wave

3 Aug Stefan Rünzi University of Cologne Sex Matters: Gender and Mutual Funds

10 Aug Kathleen Walsh UNSW Asset Pricing Under Alternative Investment Horizons

24 Aug Graham Bornholt Griffith University Extending the CAPM: the Reward Beta Approach

31 Aug Garry Twite AGSM Why Do Firms Hold So Much Cash? A Tax-Based Explanation

7 Sep Henry Yip UNSW Decomposing the Bid-Ask Spread of Stock Options: A Trade and Risk Indicator Model

14 Sep Chih-Ying Hsiao

University of Technology, Sydney

Intertemporal Asset Allocation under Inflation Risk

21 Sep Shlomi Zilca University of Auckland Optimal Investment in a Gordon Model with Externalities

5 Oct Avner Kalay University of Utah

Sophisticated Arbitrage Strategies of Market Makers in the US Option Markets

12 Oct Raymond Liu UNSW Would You Like to Revise Your Order Mr. Trader? 19 Oct Peter Gardner UNSW Excess Returns and Short-Term Institutional Trading

26 Oct Alexander Ljungqvist

New York University Rewriting History

2 Nov Peter Pham UNSW Pre-IPO Ownership Structure and Its Impact on the IPO Process

23 Nov Shaun Bond University of Cambridge

An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?

49

TABLE 22 BCom (Hons) 2006 Completed Research Theses Surname

Given Name

Title

Supervisor

Carlton

Grant

An Input-Output Based Examination of Takeover Clustering

Ronan Powell Alfred Yawson

Chow

Karen Sell Discipline and Institutional Trading Activity

David Gallagher Jo Fernandes

Humphery

Mark

Anti-takeover provisions, Hubris and Acquirer Returns

Ronan Powell

Lau

Sarah

Australian Fund Managers' Capital Gains Tax Efficiency

Kingsley Fong Peter Swan

Le

Anh Tu

Secrecy of Bank of Japan intervention: Evidence of Efficacy From Intra-Daily and Ultra-High Frequency Data

Suk-Joong Kim

Markanday

Mark The Pricing of Macroeconomic Factors in Insurance Stocks

Donghui Li Fariborz Moshirian

Pearl

Joshua

Markov Switching of Equity Returns in an Asset Allocation Framework

Kathy Walsh

San

Andrew Macroeconomics Analysis of the Size Effect

Kathy Walsh

Vantol

Vanessa

Front Running of Analyst Recommendations:

Mike Aitken Kathryn Wong

TABLE 23

MCom (Hons) 2006 Surname

Given Name

Title

Supervisor

Chan Pak To The Anatomy of Credit Rating Changes: Australian Experience Prof Terry Walter Kouch Richard Efficient Covariance Matrix Estimation in Portfolio

Management Prof Robert Kohn

Loago Thabang

Madigele Relative Performance of Alterative Investment Vehicles: Hedge Funds, Funds of Funds, and CTA Funds

Dr Thomas Henker

Shan Yaowen Analysts Forecasts and Future Stock Return Volatility : a Firm-

level Analysis for NYSE Firms Prof Terry Walter

50

TABLE 24

PhD Thesis 2006

Surname

Given Name

Title

Supervisor

UNIVERSITY OF NEW SOUTH WALES

Chen Zhian A segmented Chinese equity market Prof Peter Swan Wu Qiongbing International finance: issues related to law and

financial development Prof Fariborz Moshirian

TABLE 25

Databases 2006

Database Time Period AGSM Share Price and Price Relative Database Monthly 1974 – 2005 CDA/Spectrum Mutual Fund Database (US Mutual fund data) Quarterly 1980 - 2006 Connect 4 – Australian Annual Reports (text only) Annual 1992 – 2006 - Prospectus Annual 1994 – 2006 - Australia Merger & Acquisitions Annual 1994 – 2006 Corporate Scorecard (Australian Credit Risk Modelling) 1989 - 1998 CRSP US Share Prices Monthly 1926 – 2006 Daily Jul 1962 – 2006 CRSP Bond Pricing Monthly Jan 1920 – 2006 CRSP Market Indices Monthly 1926 – 2006 CRSP Compustat Merge database Annual 1950 – 2006 Quarterly 1962 – 2006 CSMAR (Chinese Trading Database A and B shares) Daily 1990-2001 CSMAR (Chinese Financial Statement Database A and B shares) 1990-2001 Datastream (Worldwide stockmarket and economic timeseries) Daily 1953 – 2006 Huntley Data Analysis Annual 1993 – 2006

51

IBES Earnings forecasts Daily 1974 - 2006 SIRCA ASX Daily Data Daily 1979 - 2006 SIRCA ASX Daily Index Data Daily 1980 - 2004 SIRCA ASX Company Announcements Data Daily 1991 - 2006 SIRCA Sydney Future Exchange Daily Data Daily 1996 - 1999 Reuters Data via SIRCA Intra-day 1995 - current 240 Exchanges around the world via RASP and TAQTIC SIRCA provides member universities with several other databases including SEATS, CHESS, and Aspect Financial. UNSW is a full member of SIRCA. For further information see SIRCA’s website at http://www.sirca.org.au. Standard & Poor’s – Compustat (US Financial Accounts) and Research Insight with Global Vantage - Bank Annual 1972 – 2006 Quarterly 1980 – 2006 - Industrial Annual 1972 – 2006 Quarterly 1980 – 2006 - OTC Annual 1972 – 2006 - Prim/Supp/Tert Annual 1972 – 2006 Standard & Poor’s – Execucomp (US executive compensation database) Annual 1992-2006 Statex Financial Database - ASX Financials Quarterly 1978 – 2000 - Indices & Share Prices Quarterly 1980 – 2000 Trade and Quote Database (TAQ) Transactional 1993 – Oct 2006 UBS – Conquest (Australian equity prices and financial statement data) Daily 1987 – 2000 Wharton Research Data Services (http://wrds.wharton.upenn.edu/)

52

TABLE 26

Papers Presented at the Nineteenth Australasian Finance and Banking Conference 13 – 15 December 2006

Primary Author Affiliation Title of paper Co-authors

Gil Aharoni The University of Melbourne

Hot Hands in Basketball and Equilibrium Oded Sarig - Interdisciplinary Center, Herzliya and Wharton

David Allen Edith Cowan University The Consumption-Based Capital Asset Pricing Model (CCAPM), habit-based consumption, and the Equity Premium in an Australian Context

Lurion Demello - King Fahd University of Petroleum and Minerals

Turki Alshimmiri Kuwait University Dividend, Cash Flow, and Investment Kaled Alsaad - Kuwait University Talla Aldehani - Kuwait University

John Anderson British University in Dubai

Technical Analysis Usage in the Australian Foreign Exchange Market

Francesca Arnaboldi Università degli studi di Mila

The Profitability of Bank Acquisitions: Empirical analysis on Eastern European countries Data

Gabriel Asaftei University of Richmond The Dominance of Product Mix over Productivity and Technical Change in the U.S. Banking

Valentin Zelenyuk - Kyiv Economics Institute Daniel Henderson - Sate University of New York (SUNY)

Frank Ashe Macquarie University Applied Finance Centre

Manager-of-Managers Attribution

Jahfer Athambawa South Eastern University of Sri Lanka

Stock Price Reaction to the New Public Equity Issues in Japan: New Evidence on the Efficiency of Japanese Stock Market

Tohru Inoue - Yokohama National University, Japan

Chau Kin Au Yeung City University of Hong Kong

Initial Growth Status and Corporate Capital Structure

Robert Korajzcyk - Northwestern University Xueping Wu - City University of Hong Kong

Necmi Avkiran The University of Queensland

Does the Level of Interest Rates Distort Measurement of Bank Efficiency?

53

Ralph Bachmann Nanyang Technological

University Non-Linear Stock Price Dynamics, Chart Analysis, and Aspects of Investor Psychology

Karen Benson UQ Business School Fund Flow and Return: Evidence from Individual Funds

Robert Faff - Monash University Tom Smith - ANU

Raisa Beygelman J.W. Goethe-University, Frankfurt

Bid-Ask Spreads and Asymmetry of Option Prices

Belinda Bian UNSW Corporate Failure Modelling: A Student Initiated Australian Study Using Non-Portfolio Techniques

Selina Liang – UNSW Vic Edwards – UNSW Jessie Huang - UNSW

Robert Bianchi Queensland University of Technology

Hedge Funds: Attrition, Biases and the Survivor Premium

Michael Drew - Queensland University of Technology

Tanachote Boonvorachote Thammasat University Endogenous Tick Sizes, Bid-Ask Spreads, Depths, and Trading Volumes: The Evidence on the Stock Exchange of Thailand

Kulpatra Sirodom - Thammasat University Charlie Charoenwong - Nanyang Technological University

Bruce Budd Zayed University Profits Galore, But Are UAE Local Banks Performing Efficiently?

Catherine Budd - Edith Cowan University

Klaus Buhr Massey University Direct Evidence of Non-Trading on the New Zealand Stock Exchange

Lawrence Rose - Massey University Xiaming Li - Massey University

Wen Li Chan University of Nottingham Malaysia Campus

Shareholder Wealth Effects of Filings and Settlements of Corporate Cyberlitigation in the United States

Eng Tuck Cheah - University of Nottingham Malaysia Campus

Chia-Ching Chang Yuan Ze University Intraday Contagions and the Variation of Informed Trades across Sessions: Evidence from the U.S. Technology Stocks

Sheng-Syan Chen - National Taiwan University Robin Chou - National Central University Chin-Wen Hsin - Yuan Ze University

Ming-Jen Chang National Dong Hwa University

Optimal Securitization Strategy:The Case of CDO Issuance for Banks

Chih-Wei Lee - National Taipei College of Business

Philip Cheng Australian Catholic University

Understanding US Bank Failures and Developing an Early Warning System with Decision Tree Models

Hian-Chye Koh - SIM University Chan-Kee Low - Nanyang Technological University

Umberto Cherubini University of Bologna Outside Barrier Options Silvia Romagnoli - University of Bologna Fennee Chong UiTM Divergence of Opinion and Performance of

Malaysian Initial Public Offerings Ruhani Ali – USM Zamri Ahmad - USM

Patrick Kuok-Kun

Chu University of Macau Performance Persistence of Pension Fund Managers: Hong Kong Mandatory Provident Funds (MPF) Evidences

54

Choong Tze Chua Singapore Management University

Effective Fair Pricing of International Mutual Funds

Yangru Wu - Rutgers University Sandy Lai - Singapore Management University

Alain Coën Université du Québec à Montréal (UQAM)

Risk and Performance Estimation in Hedge Funds: Evidence from Errors in Variables

Georges Hübner - Université de Liège/Maastricht University

Rebel Cole DePaul University What Can We Learn about Executive Compensation from Privately Held Firms?

Hamid Mehran - Federal Reserve Bank of New York

Grant Cullen Murdoch University Asymmetric Liquidity Preferences in Mutual Fund Trades and Fund Performance: 2003 - 2005 Evidence

Alex Clarke - Australian National University Dominic Gasbarro - Murdoch University

Qinglei Dai Faculdade de Economia, Universidade Nova de Lisboa

Influence of a Tax Reform on Dividend Clienteles

Abhishek Das The University of Sydney The Investment Geography of Money Management: Home (base) advantage for hedge funds?

Alex Frino - The University of Sydney Elvis Jarnecic - The University of Sydney

Chris Deeley Charles Sturt University All that glitters . . . : An evaluation of Australia's superannuation tax-free lump sum golden egg

Yuan Ding CEIBS Foreign vs. Domestic Listing: an Entrepreneurial Decision

Eric Nowak - University of Lugano Hua Zhang - China Europe International Business School

Binh Do Monash University Profitable Pairs Trading with Australia's Banking Stocks: New Strategies

Robert Faff - Monash University

Ako Doffou Sacred Heart University Periodically Collapsing Bubbles in the Asian Emerging Stock Markets

Stéphane Dubreuille Reims Management School

Impact of European and American Business Cycle News on Euronext Trading

Huu Minh Mai - Euronext Paris

Ivica Dus Johann Wolfgang Goethe-University of Frankfurt

Optimizing the Retirement Portfolio: Asset Allocation, Annuitization and Risk Aversion

Wolfram Horneff - University Frankfurt Olivia Mitchell - University of Pennsylvania Raimond Maurer - University Frankfurt

Steve Easton Uni of Newcastle An Examination of "In Play" Sports Betting Using One-Day Cricket Matches

Katherine Uylangco - University of Newcastle

Vic Edwards UNSW A Longitudinal Study of the Use of E-Banking to Improve the Saving and Banking Habits of the Unbanked Segment in South Africa: SBSA’s E-Plan

Julyana Cahyadi - Perdisco Australia Publishers

Anders Ekholm HANKEN - Swedish School of Economics and

Overconfidence and Investor Size Daniel Pasternack - Swedish School of Economics and Business Administration

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Business Administration Katrina Ellis University of California

Davis Capital Gains Taxes and IPO Underpricing Oliver Li - University of Notre Dame

John Robinson - University of Texas at Austin Bernd Engelmann Quanteam Better than its Reputation: An Empirical Analysis

of the Local Volatility Model for Barrier Options Matthias Fengler - Sal. Oppenheim Peter Schwendner - Sal Oppenheim

Oliver Entrop Catholic University of Eichstaett-Ingolstadt

The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework

Marco Wilkens - Catholic University of Eichstaett-Ingolstadt

Robert Faff Monash University An Investigation of the CSP/CFP link: A Multivariate Panel Probit Analysis of the BOS Corporate Sustainability Strategy

Darren Lee - University of Queensland

David Forrester UNSW/Barclays Capital Option-Implied Risk Aversion Estimates for Dollar-Bloc Exchange Rates

Don (Tissa) Galagedera Monash University An Alternative Perspective on the Relationship Between Downside Beta and CAPM Beta

David Gallagher UNSW Excess Returns and Short Term Institutional Trading

Peter Gardner – UNSW Peter Swan - UNSW

Quan Gan UNSW Bayesian inference for elliptically distributed copula in financial modelling

Robert Kohn - UNSW

Hayette Gatfaoui Rouen School of Management

Credit Risk and Market Risk: Analyzing US Credit Spreads

Philip Gharghori Monash University Default Risk and the Cross-section of Equity Returns

Howard Chan - University of Melbourne Robert Faff - Monash University

Aaron Gilbert AUT University Elements of Effective Insider Trading Laws Alireza Tourani-Rad - Auckland University of Technology Frijns Bart - Auckland University of Technology

Martino Grasselli University of Padova and ESILV

Pricing when Correlations are Stochastic: an Analytical Framework

Jose da Fonseca - Zeliade Systems and ESILV Claudio Tebaldi - University of Verona

Philip Gray UQ Business School Canonical Valuation and Hedging of Index Options Egon Kalotay - Macquarie University Shane Edwards - Royal Bank of Scotland

Olaf Gresvik Norges Bank Risk in a Central Counterparty: Margins on futures contracts with GARCH

Lila Guermas-Syegh Reims Management School

Can Corporate Structure Influence Liquidity Shift? The Case of Royal Dutch Shell plc.

Caroline Fournier-Emonet - Rennes University

Kartick Gupta University of Waikato Transaction Costs and 52-Week High Momentum Investing - New Zealand Evidence

Philip O'Connor - University of Waikato

Phil Hancock University of W.A Impact of Taxation on Credit Unions in Australia Dominic Gasbarro - Murdoch University

56

Kent Zumwalt - Colrado State University. UWA Mamiza Haq RMIT University European bank equity risk: January 1995-April

2006 Richard Heaney - RMIT University

Evelyn Hayden Austrian National Bank Bank Failure Prediction: A Two-Step Survival Time Approach

Michael Halling - University of Vienna

Wen He National University of Singapore

Accruals Management and Institutional Trading

Thomas Henker UNSW The Vanishing Abnormal Returns of Momentum Strategies

Martin Martens - Erasmus University Robert Huyhn - UNSW

Kurt Hess University of Waikato Management School

A Typology of Credit Loss and Provisioning Reporting by Banking Institutions in Australasia

Mia Hinnerich Stockholm School of Economics

Inflation Indexed Swaps and Swaptions

Martin Holmen Uppsala University Tender Offers versus Block Trades: Empirical Evidence

Eugene Nivorozhkin - University College London

Jacquelyn Humphrey University of Queensland Socially Responsible Investment Funds: An investigation of performance persistence and fund flows

Karen Benson - University of Queensland

Zaäfri Husodo UNSW Short-run Behavior of Stock Returns: Speed of Adjustment and its Contributing Factors in the Jakarta Stock Exchange

Thomas Henker - UNSW

Giuliano Iannotta SDA Bocconi Ownership Structure, Risk, and Performance in the European Banking Industry

Giacomo Nocera - SDA Bocconi Andrea Sironi - SDA Bocconi

Norlida Jaafar Universiti Teknologi MARA

Effect on Unit Trust Performance From Change in Management Companies

Ruhani Ali - Universiti Sains Malaysia Roselee Shah Shaharudin - University Sains Malaysia

Philip Ji Monash University Are the Real Interest Rates Really Mean-Averting? Jae Hoon Kim - Monash University Ping Jiang City University of

Hongkong Corporate Governance in China: a Long Way to Go Yan Leung Cheung - City University of Hong Kong

Piman Limpaphayom - Chulalongkorn University Tong Lu - Chinese Academy of Social Science

Matthias Johannsen University of Hohenheim Good versus Bad Earnings Management: Is Income Smoothing a Deliverance?

Hans-Peter Burghof - University of Hohenheim

Wenjin Kang National University of Singapore

Liquidity Beyond The Best Quote: A Study Of The Nyse Limit Order Book

Wee Yong Yeo - National University of Singapore

Byoung Uk Kang Monash University Sovereign Credit Default Swaps, Sovereign Debts and Volatility Transmissions across Emerging

Francis In - Monash University Tong Suk Kim - KAIST

57

Markets Kazuo Kato Osaka University of

Economics When Voluntary Disclosure Isn’t Voluntary: Management Forecasts in Japan

Douglas Skinner - The University of Chicago Michio Kunimura - Meijo University

Joocheol Kim Yonsei University Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption

Woo-Whan Kim - Yonsei University

Soyeon Kim Yonsei University Evaluating the Adequacy of the Deposit Insurance Fund Using Saddlepoint Approximation in the Vasicek Model

Joocheol Kim - Yonsei University

Taehyuk Kim Pusan National University Empirical Evidences for Possible Causes of Volatility Long-memory in Stock Markets

Cheoljun Eom - Pusan National University Gabjin Oh - Pohang University of Science and Technology Seounghwan Kim - Pohang University of Science and Technology

Michael King Bank of Canada The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation

Dan Segal - University of Toronto

Andreas Kolbe HVB-Institute for Mathematical Finance, Munich University of Technology

A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities

Rudi Zagst - Munich University of Technology

Oksana Koryak Instituto de Empresa Business School

Risk Taking by Venture Capital Funds: A Behavioral Perspective

Laura Nuñez Letamendia - Instituto de Empresa Business School

Vaidyanathan Krishnamurthy IIT Bombay Cost of Trading in Constrained Debt Markets Jennifer Kruk University of Sydney Transactions in Futures Markets: Informed or

Uninformed? Alex Frino - University of Sydney Andrew Lepone - University of Sydney

Martin Lally Victoria University of Wellington

Estimating Betas: Industry Averaging, Standard Errors and the Cross-Sectional Variation in True Asset Betas

Roderick Lambert Monash University The Social Psychology of Bank Runs Yihui Lan The University of Western

Australia A New Approach to Forecasting Exchange Rates Kenneth Clements - UWA

Kim-Song Le Murdoch Business School Revolving Credit Loans, Financial Slack and Market Timing

J.Kenton Zumwalt - UWA and Colorado State University Robert Schwebach - Colorado State University Dominic Gasbarro - Murdoch University

Adrian Lee UNSW Measuring Characteristic Selectivity and Timing Ability Using Equity Portfolio Holdings

Kingsley Fong – UNSW David Gallagher - UNSW

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Andrew Lepone University of Sydney Bid-Ask Spreads Under Auction and Specialist Market Structures: Evidence from the Italian Bourse

Dionigi Gerace - University of Wollongong Alex Frino - University of Sydney

Steven Li Queensland University of Technology

The Relation between Implied and Realized Volatility: Evidence from the Australian Stock Index Option Market

Qianqian Yang - QUT

Chung-Gee Lin Soochow University Analytic Solution for Asian Options with Stochastic Volatility

Bo Liu University of Electronic Science and Technology of China

Can Price Limit Help when the Price is Falling? Evidence from Transactions Data on Shanghai Stock Exchange

Woon Wong - Tamkang University Yong Zeng - University of Electronic Science and Technology of China

Qiang Liu University of Electronic Science & Technology of China

The m Out Of n Provisional Call: An Auxiliary Reversed Binomial Tree Approximation

Ming-Hua Liu AUT University The Information Content of Implied Volatility in the Hong Kong and Singapore Covered Warrants Markets

Chenny Chen - AUT University Hoa Nguyen - Deakin University

John Livanas FuturePlus Stock Exchange. Chih-Yao Lo Yu-Da College of

Business The Analysis of a Variable Default Boundary to the Pricing of Vulnerable European Options

Yu-Teng Chang - Yu-Da College of Business

Cyrille Mandou Université de Perpignan Asian Stock Markets do not follow Random Walk : testing and evidence from a large sample

Claire Matthews Massey University The Fees People Pay Mei Hu - Massey University Benjamin Maury Swedish School of

Economics and Business Administration

Oligarchs, Institutional Change, and Firm Valuation: Russian Evidence

Eva Liljeblom - Swedish School of Economics and Business Administration

Michael McCrae University of Wollongong Risk Attitude Profiling: The Effects of Framing on Validity

Patricia McGraw Ryerson University Duelling Banjos: Debt Contracting and Capital Structure

Thomas McInish University of Memphis What IPO Order Flow Reveals about the Role of the Underwriter

Michael Aitken - University of New South Wales Frederick Harris - Wake Forest University Kathryn Wong - University of New South Wales

William Megginson University of Oklahoma Dividend Policy in the European Union Henk von Eije - University of Groningen Ghulam Mujtaba

Mian National University of Singapore

Mutual Fund Herding and Analysts' Earnings Forecasts

Chuan-Yang Hwang - Nanyang Technological University

59

Kalok Chan - Hong Kong University of Science and Technology

Abdul Mongid STIE Perbanas Surabaya Banking College

The Determinants of Bank Credit Growth in Indonesia during 1992 –2004: A Supply Side Approach

Roberto Monte Università di Roma A Class of "singular" Bayesian-Nash Equilibria in a Market Model where an Insider trades with no Information Transmission

Barbara Trivellato - Politecnico di Torino

Khalid Mustafa University of Karachi Do Emerging Stock Markets Promote Long-Run Economic Growth: A case Study of Karachi Stock Exchange

Muhammad Nishat Malik - Institute of Business Administration

John Nankervis University of Essex Efficiency, Ownership and Financial Structure in European Banking: A Cross-Country Comparison

Claudia Girardone - University of Essex Ekaterini-Fotini Velenza - University of Essex

Anh Hoang Nguyen Monash University Foreign vs. Local Investors: Who Knows More? Who Makes More?

Natalie Oh - Monash University Petko Kalev - Monash University

Pascal Nguyen University of New South Wales

Ownership Concentration, Agency Conflicts and Dividend Policy in Japan

Kjell Bjorn Nordal Norges Bank Banks' optimal implementation strategies for a risk sensitive regulatory capital rule: a real options and signalling approach

Philip O'Connor University of Waikato Inferring Risk Preferences Using Synthetic Win Bets in Exotic Horse Betting Markets

Jerry Parwada University of New South Wales

The market for institutional delegated portfolio management

Toan Pham UNSW Dividend Policy in the Absence of Taxes Khamis Al Yahyaee – UNSW Terry Walter - UNSW

Russell Poskitt University of Auckland Benchmark Tipping: the Role of the Swap Market in the Price Discovery

Mei Qiu Massey University Improving International Share Market Investment Returns through Currency Risk Control: the Australia and New Zealand Evidence

John Pinfold - Massey University Lawrence Rose - Massey University

Margaret he Rammerstorfer Vienna University of Economics and Business Administration

Investment Decisions under Uncertainty and Price Cap Regulation

Thomas Nagel - Vienna University of Economics and Business Administration

Gary Rangel University Science Malaysia

Evidence of Bubbles in the Malaysian Stock Market Subramaniam S. Pillay - The University of Nottingham (Malaysia Campus)

60

Gary John Rangel - Altera Corporation Fauziah Md. Taib - University Science Malaysia

Krishna Reddy Pacific International Hotel Management School

Corporate Governance Practices of Large Firms in New Zealand and Firm Performance: An Empirical Investigation

Abeyratna Gunasekarage - The University of Waikato Frank Scrimgeour - The University of Waikato Stuart Locke - The University of Waikato

Jonathan Reeves University of New South Wales

Forecasting Systematic Risk in the Australian Capital Markets

Vincent Hooper – UNSW Kevin Ng - UNSW

Herbert Rijken Vrije Universiteit, Amsterdam

The added value of Rating Outlooks and Rating Reviews to corporate bond ratings

Edward Altman - New York University

Calum Robertson Queensland University of Technology

Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes?

Shlomo Geva - Queensland University of Technology Rodney Wolff - Queensland University of Technology

Khaoula Saddour DRM- CEREG Why do French firms hold cash? Stephen Sault School of Finance and

Applied Statistics, ANU A Disaggregated Analysis of Movements in East Asian Regional Stock Volatility

Norman Seeger Goethe University Frankfurt

Hedging Options in Illiquid Markets Burkart Moench - Goethe-University Frankfurt

Yaowen Shan UNSW Accruals variability and future stock return volatility

Stephen Taylor – UNSW Terry Walter - UNSW

Ian Sharpe UNSW Risk Overhang, Risk Tolerance, and Profitability in Sectoral Lending of Australian Thrift Institutions

Neil Esho – Bis Niruba Thavabalan - APRA

Chander Shekhar University of Melbourne Compulsory or Voluntary Pre-merger Notification? A Theoretical and Empirical Analysis

Chongwoo Choe - UNSW

Yung-Ming Shiu National Cheng Kung University

Anatomy of the Risk-averse Behavior: Empirical Evidence on the Motivation for and Impact of Derivatives Hedging

Yi-Cheng Shin - Tunghai University

Fang Sihai University of Electrical Science and Technology of China

A Study for Risk-Neutral Hedging Strategy Based on Market- Index, Index-Futures and Index-Options

Yang Xu - Guangzhou Company Xiaofeng He - BNP PARIBAS

Simon Sim University of South Pacific

Econometric modelling of FijiTV from 2002-2005: A first differenced and financial ratio approach; and Foreign Exchange model for Fiji/NZD for the risk taker investor; A South Pacific perspective

David Siu Macquarie University Forecasting Realized FX Volatility with Long

61

Memory: A Multiple Horizon Comparison using Different Volatility Proxies

Scott Smart Indiana University The Rise of Accelerated Seasoned Equity Underwritings

William Megginson - Price College of Business Bernardo Bortolotti - Universita di Torino

Michael Stamos Goethe University Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal

Raimond Maurer - Goethe University Wolfram Horneff - Goethe University

Sascha Steffen Goethe University Frankfurt

Informed Lending and the Structure of Loan Syndicates - Evidence from the European Syndicated Loan Market

Oliver Bosch - Goethe University Frankfurt

Maria Strömqvist Stockholm School of Economics

Do Emerging Market Hedge Fund Managers Lack Skills?

Jan-Egbert Sturm ETH Zurich, KOF Characteristics determining the efficiency of Foreign Banks in Australia

Barry Williams - Bond University

Peter Swan UNSW Sequences of Mimicking Fund Manager Trades: Pareto Efficient Price Discovery or Imitative Lemming-Like Behavior?

Kingsley Fong - UNSW David Gallagher – UNSW Peter Gardner - Sirca

Christian Tallau University of Goettingen A Customer Based Stochastic Valuation Approach for Growth Companies

Kar Mei Tang University of Sydney The Impact of Pre-Trade Anonymity on ASX Liquidity: An Analysis of the Removal of Broker Identifiers from SEATS

Carole Comerton-Forde - University of Sydney

Amine Tarazi Université de Limoges The Provision of Services, Interest Margins and Loan Pricing in European Banking

Emmanuelle Nys - University of Limoges Laetitia Lepetit - University of Limoges Philippe Rous - University of Limoges

Ramabhadran Thirumalai Indian School of Business What's in a vote? The short- and long-run impact of dual-class equity on IPO firm values

Scott Smart - Kelley School of Business Chad Zutter - Katz Graduate School of Business

Nakhun Thoraneenitiyan The University of Queensland

The Impact Of Post-Crisis Restructuring On Bank Efficiency: An Analysis Of Asian Banking Systems Integrating DEA and SFA

Necmi Avkiran - The University of Queensland

Gary Tian University of Western Sydney

Equity market price linkage between China and the other markets within the Chinese states equity markets

Alireza Tourani-Rad Auckland University of Technology

Insider Trading, Regulation and the Components of the Bid-Ask Spread

Aaron Gilbert - Auckland University of Technology Frijns Bart - Auckland University of Technology

Anh Tuan Tran La Trobe University The Challenges of Banking Performance Measurement in Vietnam

Kok Boon Oh - La Trobe University

62

David Tripe Massey University Risk Perceptions of New Zealand Retail Bank Depositors

Jacob Wood - Massey University Michael McIntyre - Carleton University

Yun-Lan Tseng National Pingtung Institute of Commerce

Can Tax Explain the Ex-date Phenomenon? Shiang-yang Hu - National Taiwan University

Edmondo Tudini SDA Bocconi The Value Relevance of Banks’ Accounting Numbers in US and Continental Europe: What Changed with the Introduction of IFRS?

Gerhard Van de Venter UTS Financial Planners’ Interpretations: A Survey of Asset Allocation Recommendations

David Michayluk - University of Technology, Sydney

John Vaz Monash University Bank Stock Price Reaction to Cash Rate Change Announcements of the Reserve Bank of Australia

Mohamed Ariff - Monash University Robert Brooks - Monash University

Madhu Veeraraghavan Monash University How Smart is Money? An Investigation into Investor Behaviour in the Australian Managed Fund Industry

Philip Gharghori - Monash University Shifali Mudumba - Strategy and Marketing AUS and NZ Banking Group

James Vickery Federal Reserve Bank of New York

How Do Capital Market Imperfections Shape Real Firm Decisions? Evidence from the Mortgage Market

Ed Vos University of Waikato SME Owner Involvement: Profitability and Financial Safety, not Growth

Callum Rouston - Uni of Waikato Ed Vos - Uni of Waikato

Kenji Wada Keio University Stock Reprurchases in Japan Christian Walter Protección Medio

Ambiental Gestion Less Can Be More! Hayette Gatfaoui - Rouen School of Management

Hubert Rodarie - SMA BTP Insurance Company Mike Ward University of Pretoria Seasonal Timing Using Put Option Portfolio

Protection on the JSE Chris Muller

Grant Wearin University of Sydney The Intraday Behavior of Market Depth in a Competitive Dealer Market: Evidence from The Sydney Futures Exchange

Alex Frino - University of Sydney Andrew Lepone - University of Sydney

Marvin Wee University of Western Australia

Institutional versus Retail Traders: A Comparison of their Order Placement Strategies

Philip Brown - University of Western Australia

Marco Wilkens Catholic University of Eichstaett-Ingolstadt

The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market

Oliver Entrop - Catholic University of Eichstaett-Ingolstadt Hendrik Scholz - Catholic University of Eichstaett-Ingolstadt

Barry Williams Bond University Bank Risk and Return: Traditional versus non-traditional income

Laurie Prather - Bond University

Donald Winchester UNSW Domestic vs. Foreign Investors' Transaction Jerry Parwada - UNSW

63

Execution Ability in the United States: an Analysis by Country of Origin

Terry Walter - UNSW Asia

Djoko Wintoro Prasetiya Mulya Business School

The Credibility of Emerging Stock Exchange: Structural Equation Modeling Analysis

George Woodward Monash University The Market Timing Ability of Australian Superannuation Funds: Nonlinearities and Smooth Transition Models

Robert Brooks - Monash University

Andrew Worthington University of Wollongong Political cycles in the Australian stock market since Federation

Sue Wright Macquarie University Some evidence on Australian mergers: 1999 - 2002 Benjamin Lau - Australian Prudential Regulatory Authority Alex Proimos - Macquarie University

Eliza Wu UNSW Effect of Market co-movements on International Mutual Fund Managers' Portfolio Holdings

Jerry Parwada - UNSW

Minxian Yang UNSW Asymmetric Volatility in the Foreign Exchange Markets

Jianxin Wang - UNSW

Ting Yang AUT University The performance of Yankee issuers' original IPOs Sie Ting Lau - Nanyang Technological University Joey Wenling Yang UWA Information Sharing Among International Fund

Managers: Multi-country Evidence Jerry Parwada - UNSW

Alfred Yawson UNSW Restructuring strategies pursued by distress and healthy firms

Ronan Powell - UNSW

Wee Yong Yeo National University of Singapore

Understanding Cancellation and Resubmission of Limit Orders

Qi Zeng Department of Finance - University of Melbourne

Seasonality, Size Effect and Delisting Bias Xiao Cao - University of Melbourne

Xibin Zhang Monash University A Bayesian Approach to Bandwidth Selection for Multivariate Kernel Regression with an Application to State-Price Density Estimation

Maxwell King - Monash University Robert Brooks - Monash University

Ruoyun Zhao University of Technology, Sydney

New Information in S&P500 Revision: Alternative Perspective of Corporate Bonds and Earnings

Na Zhao University of Macau The Short-run Price Performance of Initial Public Offerings in Hong Kong

Anna Vong - University of Macau

Kuifang Zheng Beijing University of Aeronautics and Astronautics

Information Transmission and Volatility Spillover between Futures and Stock Markets for Chinese Listed Aluminium Firms

Liyan Han - Beijing University of Aeronautics and Astronautics Donghui Li - University of New South Wales Zhian Chen - UNSW

64

Rhea Tingyu Zhou University of Macau A New Perspective of Market with Spurious Herding

Rose Neng Lai - University of Macau

Remco Zwinkels Radboud University Nijmegen

Behavioural Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis

Eelke De Jong - Radboud University Nijmegen Willem Verschoor - Radboud University Nijmegen

65