Purpose - This paper aims to examine the impact of crude oil prices on Australian industry stock returns. With rising energy prices, it is important to consider oil as a pricing factor in asset pricing models. Design/methodology/approach - Multifactor static and dynamic models consider crude oil and other macroeconomic factors as pricing factors in industry excess returns from January 1980 to August 2006. The macroeconomic factors comprise the market portfolio, oil prices, exchange rates and the term premium. The industries consist of banking, diversified financials, energy, insurance, media, property trusts, materials, retailing and transportation. Findings - Oil prices are an important determinant of returns in the banking, energy, materials, retailing and transportation industries. The findings also suggest oil price movements are persistent. Nonetheless, the proportion of variation in excess returns explained by the contemporaneous and lagged oil prices appears to have declined during the sample period. Research limitations/implications - Macroeconomic factors are important for multifactor asset pricing at the industry level. Apart from oil prices, the market portfolio is a significant pricing factor in all industry excess returns. Exchange rates are also an influential factor for excess returns in the banking and diversified financials industries, and the term premium as a proxy for future real activity is a priced factor in the energy, insurance and retailing industries. Originality/value - While past studies have provided some evidence that oil prices constitute a source of systematic asset price risk and that exposure varies across industries, no recent work is known in the Australian context.
{"title":"A Comparative Analysis of Oil as a Risk Factor in Australian Industry Stock Returns, 1980-2006","authors":"Evan J McSweeney, A. Worthington","doi":"10.2139/ssrn.1004676","DOIUrl":"https://doi.org/10.2139/ssrn.1004676","url":null,"abstract":"Purpose - This paper aims to examine the impact of crude oil prices on Australian industry stock returns. With rising energy prices, it is important to consider oil as a pricing factor in asset pricing models. Design/methodology/approach - Multifactor static and dynamic models consider crude oil and other macroeconomic factors as pricing factors in industry excess returns from January 1980 to August 2006. The macroeconomic factors comprise the market portfolio, oil prices, exchange rates and the term premium. The industries consist of banking, diversified financials, energy, insurance, media, property trusts, materials, retailing and transportation. Findings - Oil prices are an important determinant of returns in the banking, energy, materials, retailing and transportation industries. The findings also suggest oil price movements are persistent. Nonetheless, the proportion of variation in excess returns explained by the contemporaneous and lagged oil prices appears to have declined during the sample period. Research limitations/implications - Macroeconomic factors are important for multifactor asset pricing at the industry level. Apart from oil prices, the market portfolio is a significant pricing factor in all industry excess returns. Exchange rates are also an influential factor for excess returns in the banking and diversified financials industries, and the term premium as a proxy for future real activity is a priced factor in the energy, insurance and retailing industries. Originality/value - While past studies have provided some evidence that oil prices constitute a source of systematic asset price risk and that exposure varies across industries, no recent work is known in the Australian context.","PeriodicalId":121461,"journal":{"name":"For Acceptance Letter","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125266857","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper uses customer satisfaction scores generated for a New Zealand wide survey of consumers to augment analysis of bank efficiency, and to achieve greater consistency with shareholder value analysis. It is found that the customer satisfaction score needs to be adjusted for the number of locations (branches) through which customers are served. Once this is done, the extent of divergence in efficiency is significantly reduced, consistent with propositions that a large divergence in efficiency scores should not be sustainable in a competitive market.
{"title":"The Relative Efficiency of Banks, Taking into Account a Customer Satisfaction Rating","authors":"D. Tripe","doi":"10.2139/ssrn.1009041","DOIUrl":"https://doi.org/10.2139/ssrn.1009041","url":null,"abstract":"This paper uses customer satisfaction scores generated for a New Zealand wide survey of consumers to augment analysis of bank efficiency, and to achieve greater consistency with shareholder value analysis. It is found that the customer satisfaction score needs to be adjusted for the number of locations (branches) through which customers are served. Once this is done, the extent of divergence in efficiency is significantly reduced, consistent with propositions that a large divergence in efficiency scores should not be sustainable in a competitive market.","PeriodicalId":121461,"journal":{"name":"For Acceptance Letter","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123908021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
"Solid as.... I'd say!" these are the words of Colin "Pinetree" Meads, All Black hero of the 1960's and the face of Provincial Finance in the 21st Century. He may have been a great rugby player but is he qualified to give investment advice to investors in Non-Bank Financial Institutions? With the benefit of hindsight the answer to this question is probably, not. In answering the above, we look at the Legislation governing NBFIs in New Zealand, detailing the protections currently in place, before reporting results of a survey of New Zealand depositors, that attempts to judge their financial literacy and where they turn for investment information and advice. The collapse of Provincial Finance in 2006 provides a case study opportunity to examine the adequacy of the public information, provided both by formal disclosure and informally in the news media. While warning signs were apparent at Provincial Finance many were unaware or unwilling to heed them. The call by many since the collapse has been for greater prudential oversight of NBFIs? Perhaps the role and duties of the Trustee and others could be extended, but then do we as a society take responsibility for individuals' investment decisions.
{"title":"Provincial Values: 'Solid As.... I'd Say!'","authors":"W. Wilson, L. Rose, John F. Pinfold","doi":"10.2139/SSRN.1008096","DOIUrl":"https://doi.org/10.2139/SSRN.1008096","url":null,"abstract":"\"Solid as.... I'd say!\" these are the words of Colin \"Pinetree\" Meads, All Black hero of the 1960's and the face of Provincial Finance in the 21st Century. He may have been a great rugby player but is he qualified to give investment advice to investors in Non-Bank Financial Institutions? With the benefit of hindsight the answer to this question is probably, not. In answering the above, we look at the Legislation governing NBFIs in New Zealand, detailing the protections currently in place, before reporting results of a survey of New Zealand depositors, that attempts to judge their financial literacy and where they turn for investment information and advice. The collapse of Provincial Finance in 2006 provides a case study opportunity to examine the adequacy of the public information, provided both by formal disclosure and informally in the news media. While warning signs were apparent at Provincial Finance many were unaware or unwilling to heed them. The call by many since the collapse has been for greater prudential oversight of NBFIs? Perhaps the role and duties of the Trustee and others could be extended, but then do we as a society take responsibility for individuals' investment decisions.","PeriodicalId":121461,"journal":{"name":"For Acceptance Letter","volume":"63 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130534803","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we show that the methodology used to assess the impact of a change in design on market liquidity provides results that should be interpreted with lots of prudence. Focusing on the switch to anonymity on Euronext Paris in April 2001, we show that the decrease in spread that has been documented in Paris, and that has been attributed to the introduction of the anonymity rule, also appears at the same time on the NYSE. Spreads in Paris and in New York seem to exhibit a significant relationship over time, so a "global liquidity factor" should be taken into account in natural experiment studies.
{"title":"Natural Experiments Methodology and Global Liquidity in Financial Markets","authors":"Christophe Majois","doi":"10.2139/ssrn.1008753","DOIUrl":"https://doi.org/10.2139/ssrn.1008753","url":null,"abstract":"In this paper, we show that the methodology used to assess the impact of a change in design on market liquidity provides results that should be interpreted with lots of prudence. Focusing on the switch to anonymity on Euronext Paris in April 2001, we show that the decrease in spread that has been documented in Paris, and that has been attributed to the introduction of the anonymity rule, also appears at the same time on the NYSE. Spreads in Paris and in New York seem to exhibit a significant relationship over time, so a \"global liquidity factor\" should be taken into account in natural experiment studies.","PeriodicalId":121461,"journal":{"name":"For Acceptance Letter","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134329725","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.
{"title":"A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)","authors":"Patrick Kuok-Kun Chu","doi":"10.2139/ssrn.1000821","DOIUrl":"https://doi.org/10.2139/ssrn.1000821","url":null,"abstract":"This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.","PeriodicalId":121461,"journal":{"name":"For Acceptance Letter","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124526149","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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