Search

This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang–Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger set of quote data covering several currencies over five years. A more recent model of the bid-ask spread has been proposed (BSW) wherein the spread is modelled as a function of order-processing costs, inventory-holding costs, adverse selection and competition. This model has not previously been tested in the foreign exchange market and this study conducts such a test. We find general support for both models using individual currency samples and a pooled sample. Of note, we find strong evidence for the relevance of the inventory-holding premium on the size of the dealer bid-ask spread. To compare the two models we undertake out-of-sample forecasts of the spread and find evidence that favours the BSW model in the aggregated sample, while the evidence is mixed in relation to individual currencies.

In the context of managing downside correlations, we examine the use of multi-dimensional elliptical and asymmetric copula models to forecast returns for portfolios with 3–12 constituents. Our analysis assumes that investors have no short-sales constraints and a utility function characterized by the minimization of Conditional Value-at-Risk (CVaR). We examine the efficient frontiers produced by each model and focus on comparing two methods for incorporating scalable asymmetric dependence structures across asset returns using the Archimedean Clayton copula in an out-of-sample, long-run multi-period setting. For portfolios of higher dimensions, we find that modeling asymmetries within the marginals and the dependence structure with the Clayton canonical vine copula (CVC) consistently produces the highest-ranked outcomes across a range of statistical and economic metrics when compared to other models incorporating elliptical or symmetric dependence structures. Accordingly, we conclude that CVC copulas are ‘worth it’ when managing larger portfolios.

This study investigates whether the relation between aggregate fund flow and market returns differs between retail and institutional funds. For the retail fund sample, we document a contemporaneous relation between flow and market returns and also find evidence of feedback trading. In contrast, there is little evidence of a relation between flow and market returns for the institutional fund sample. Consequently, it appears that retail and institutional fund investors use different investment strategies, with retail investors following a more naive strategy. We find no evidence of flow inducing price pressure for either type of fund.

Cross-language information retrieval (CLIR) is an active sub-domain of information retrieval (IR). Like IR, CLIR is centered on the search for documents and for information contained within those documents. Unlike IR, CLIR must reconcile queries and documents that are written in different languages. The usual solution to this mismatch involves translating the query and/or the documents before performing the search. Translation is therefore a pivotal activity for CLIR engines. Over the last 15 years, the CLIR community has developed a wide range of techniques and models supporting free text translation. This article presents an overview of those techniques, with a special emphasis on recent developments. Refereed/Peer-reviewed

Value investment strategies are premised on research that value stocks outperform growth stocks. However, the research findings are dependent on the portfolio classification method that is used to sort stocks using the attributes of size and book-to-market ratios. Different stock markets contain different distributions of stocks, and in many markets, illiquidity concerns combined with a lack of investment scale, effectively create barriers to practical portfolio formations that align with the research. This study conducts a case study on one such market (Australia) and demonstrates that different methods of portfolio formation lead to different conclusions. For example, previous studies in Australia find evidence of the value premium only being present in the largest stocks, in contrast to the results from the US market. However, we find a value premium that is systematic across all size categories and generally increases inversely with size. Further, we find the well-documented size premium largely disappears once portfolios are formed that better represent feasible investment sets and once ‘penny dreadfuls’ are removed. Finally, asset pricing tests support the existence of a value premium in Australian stock returns when a more appropriate portfolio formation method is employed.

There is continuing debate in the asset-pricing literature as to the acceptance of the Fama–French three-factor model. While this model has received strong empirical support from tests in the US equity market, tests of the model in the Australian market have yielded inconclusive findings, particularly in respect of the high-minus-low factor. Prior research in Australia has suffered from limited datasets in respect of the accounting variables, and previous results vary with the scope of the dataset employed. Our study provides two advances. Firstly, the study utilizes a purpose-built dataset spanning 25 years and 98% of all listed firms. Secondly, the study employs a more appropriate portfolio construction method than that employed in prior studies. With these advances, the study is more able to test the three-factor model against the capital asset-pricing model (CAPM). The findings support the superiority of the Fama–French model, and for the first time align the research in this area between Australia and the USA.

In this paper we investigate the short-term contagion and long-term integration effects of terrorist activity on national stock markets. Using the partially integrated model of Bekaert et al. (Bekaert G, Harvey C and Ng A (2005) Market integration and contagion. Journal of Business 78: 39–69), we examine whether changes in cross-border relationships surrounding recent terrorist events are caused by changes in exposure to common risk factors and investigate whether these findings are similar across both developed and emerging market securities. Our research concludes that terrorism induces substantial contagion and market integration effects on national equity markets. Specifically, we provide strong evidence that major terrorist attacks induce substantial contagion consequences, particularly for developed nation equity markets. In terms of longer-term integration effects, a strong increase in cross-market correlation is observed from the pre to post-9/11 period. However, we find little evidence of an increase in the risk exposures of national markets to common risk factors, suggesting that this heightened correlation is driven by an increase in global risk factor uncertainty. This finding is consistent with the argument that an increase in the risk aversion of market participants is associated with terrorist attacks.

We present an updated set of estimates of the historical equity risk premium in Australia covering the 128 calendar years from January 1883 to December 2010. Relative to bonds (bills), the observed equity premium has averaged 6.1 per cent (6.5 per cent) p.a. over this period, and we report a similar number for later periods of relatively good quality data. We also provide estimates that incorporate an adjustment for distributed imputation credits and include the annual time series of data relating to each of the underlying components - stock, bill and bond returns and inflation.

This study seeks to disentangle the effects of size, book-to-market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book-to-market. Three key findings emerge. First, the size premium is the strongest, particularly in the loser portfolios. Second, the value premium is generally limited to the smallest portfolios. Third, the momentum premium is evident for the large- and middle-sized portfolios, but loser stocks significantly outperform winner stocks in the smallest size portfolio. When these interactions are controlled with multivariate regression, we find a significant negative average relation between size and returns, a significant positive average relation between book-to-market and returns, and a significant positive average relation between momentum and returns.

There is much anecdotal evidence and academic argument that the location of a business influences its value. That is, some businesses appear to be worth more than others because of their location. This is particularly so in the tourism industry. Within the domain of the destination literature, many factors can be posited on why business valuation varies, ranging from access to markets, availability of labor, climate, and surrounding services. Given that business value is such a fundamental principle that underpins the viability of the tourist industry through its relationship with pricing, business acquisition, and investment, it is surprising that scant research has sought to quantify the relative premium associated with geographic locations. This study proposes a novel way in which to estimate geographic brand premium. Specifically, the approach translates valuation techniques from financial economics to quantify the incremental value derived from businesses operating in a particular geographic region, and produces a geographic brand premium. The article applies the technique to a well-known tourist destination in Australia, and the results are consistent with a positive value of brand equity in the key industries and are of a plausible order of magnitude. The article carries strong implications for business and tourism operators in terms of valuation, pricing, and investment, but more generally, the approach is potentially useful to local authorities and business associations when deciding how much resource and effort should be devoted to brand protection.

This paper provides an examination of term structure models in the Australian bond market. Specifically, we examine the comparative ability of various models to forecast at the short, medium and long ends of the yield curve. Overall, we find that model performance varies along the yield curve. Out-of-sample pricing tests show that most of the term structure models underprice a bond at the short and medium ends of the term structure and generally overprice bonds at the long end. Further, the level of mispricing is related to time-to-maturity, coupon payments and interest rate volatility. The results have implications for bond pricing in relatively illiquid markets like Australia's.

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may weaken the power of statistical inferences due to over-parameterization. The paper demonstrates the usefulness of this approach for the analysis of exchange rate relationships. Specifically, the paper examines the relationship between the money supply and the Euro and provides a test of purchasing power parity (PPP) in Japan. The latter test results shed light on the adjustment mechanisms through which PPP is achieved. In addition, it is clear that the proposed ZNZ patterned VECM modeling provides better insights from this kind of financial time-series analysis. The paper also shows that causality detection in an I(d) system can be revealed identically from the ZNZ patterned VECMs or the equivalent VAR models.

In this article we describe a hybrid technique for dictionary-based query translation suitable for English-Chinese cross language information retrieval. This technique marries a graph-based model for the resolution of candidate term ambiguity with a pattern-based method for the translation of out-of-vocabulary (OOV) terms. We evaluate the performance of this hybrid technique in an experiment using several NTCIR test collections. Experimental results indicate a substantial increase in retrieval effectiveness over various baseline systems incorporating machine- and dictionary-based translation.

In light of the ongoing debate over the value of the equity risk premium, its increasing use in the regulatory setting, and the impact of dividend imputation on the premium, this paper presents a timely new look at the historical equity risk premium in Australia, and provides an improved understanding of the historical record. We document concerns about data quality that become increasingly important the further back in time one looks. In particular, there are sufficient question marks over the quality of data prior to 1958 to warrant any estimates based thereon to be treated with caution. Accordingly, we present a new set of estimates of the historical equity risk premium corresponding to periods of increasing data quality but of decreasing sample size. Relative to bonds (bills), the equity premium has averaged 6.3 per cent (6.8 per cent) per annum over 1958–2005, which is a period of relatively good data quality. Together with other results in the paper, the findings reveal a historical estimate that is substantially less than widely cited historical studies would otherwise indicate. We reconcile prior evidence through documenting a dividend adjustment that has typically been overlooked. We also provide estimates that incorporate an adjustment for imputation credits.

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is present only in the top 500 stocks, and is most economically significant among the mid-cap stocks, which we call a relative size effect. However, the momentum returns are primarily generated from poor performance of the loser portfolio rather than any superior performance of the winner portfolio. In a more formal examination of the impact of size, we find significant exposure to a size factor among the combinations of size and performance portfolios. The strongest exposure to the size factor is found in small loser portfolios which also have the strongest exposure to market risk. In explaining the source of momentum returns, our findings cast doubt on the practical implementation of a trading strategy, and we suggest that successful momentum trading strategies are likely to realize ‘paper’ profits rather than generate real investment returns.

Utilising renewable energy resources has become an internationally popular and discernible trend. Current impact of the second oil crisis is still being felt, and the pros- pect of a third crisis emerging cannot be ignored. The time is appropriate to focus on the im- portance of utilising renewable energy resources. Eventually, of course, oil resource will be exhausted, and adequate preparation for that circumstance is necessary. This research focuses on the changes of the coal and oil market structures under the evolu- tion of the world economy. The research findings would provide a reference for scholars and experts to investigate the impacts of these changes on the Australian economy.

In this work we present a method for the computation of novel 'ideas' from corpora of scientific text. The system functions by first detecting concept noun-phrases within the titles and abstracts of publications using Part-Of-Speech tagging, before classifying these into sets of problem and solution phrases via a target-word matching approach. By defining an idea as a co-occurring pair, known-idea triples can be constructed through the additional assignment of a relevance value (computed via either phrase co-occurrence or an `idea frequency-inverse document frequency' score). The resulting triples are then fed into a collaborative filtering algorithm, where problem-phrases are considered as users and solution-phrases as the items to be recommended. The final output is a ranked list of novel idea candidates, which hold potential for researchers to integrate into their hypothesis generation processes. This approach is evaluated using a subset of publications from the journal Science, with precision, recall and F-Measure results for a variety of model parametrizations indicating that the system is capable of generating useful novel ideas in an automated fashion.

One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Philippines, and Thailand. For Malaysia, no significant causal relation is found from the rate of interest to exchange rates, as the authorities in Malaysia did not actively adopt a high interest rate policy to defend the currency.

This paper investigates risk and return in the banking sector in three Asian markets of Taiwan, China and Hong Kong. The study focuses on the risk-return relation in a conditional factor GARCH-M framework that controls for time-series effects. The factor approach is adopted to incorporate intra-industry contagion and an analysis of spillovers between large banks and small banks. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations.

To date, research into socially responsible investment (SRI), and in particular the socially responsible investment funds industry, has focused on whether investing in SRI assets has any differential impact on investor returns. Prior findings generally suggest that, on a risk-adjusted basis, there is no difference in performance between SRI and conventional funds. This result has led to questions about whether SRI funds are really any different from conventional funds. This paper examines whether the portfolio allocation across industry sectors and the stock-picking ability of SRI managers are different when compared to conventional fund managers. The study finds that SRI funds exhibit different industry betas consistent with different portfolio positions, but that these differences vary from year to year. It is also found that there is little difference in stock-picking ability between the two groups of fund managers.

In this paper cointegrating relations between six East and Southeast Asian markets relative to a base cluster of three global markets are investigated in the framework of zero-non-zero (ZNZ) patterned vector error-correction modelling (VECM). The analysis focuses upon market relations both before and after the Asian currency crisis. The strength of integration between markets is also evaluated by extending Geweke's measurement approach within this framework. The results show that, since the crisis, estimated integration strengths have become more powerful between the Asian and global markets, with the US market leading both the Asian markets and the markets of Japan and the UK.

The present paper develops and tests a model explaining public sector derivative use in terms of budget discrepancy minimization. The model is different from private sector models. Private sector models do not readily translate into the public sector, which typically faces different objectives. Hypotheses are developed and tested using logistic regression over a sample of Australian Commonwealth public sector organizations. It is found that public sector organization derivative use is positively correlated with liabilities and size consistent with the hypotheses concerning budget discrepancy management.

This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.

This article examines the market valuation of announcements of new capital expenditure. Prior research suggests that the firm's growth opportunities and cash flow position condition the market response. This study jointly examines the role of growth and cash flow, and the interaction between them. Using a new data set of Australian firms that avoids problems associated with expectations models, the results are remarkably strong and support a positive association between growth opportunities and the market valuation, in addition to supporting the role of free cash flow. The findings have implications for the relationship between general investment information and stock prices.

Little is known about risk management in the public sector This study reports on a survey of senior officers in Australian Commonwealth companies and statutory authorities concerning their practice and attitudes towards the use of derivative instruments for risk management. Using a variety of tests, the most important issue identified by respondents concerning the use of derivatives is for budgeting purposes. Of note, respondents rank commonly cited reasons advanced in the private sector such as reduced bankruptcy costs and taxation, as being relatively unimportant, which is consistent with arguments advanced in the paper The results also indicate that there are significant differences in the level of importance in some issues regarding derivatives use across public sector organisations, particularly those differentiated by a documented risk management plan. The study also documents for the first time the extent of derivatives use in the Australian public sector.

The evidenced fact that "Linking is as powerful as computing" in a dynamic web context has lead to evaluating Turing completeness for hypertext systems based on their linking model. The same evaluation can be applied to the Semantic Web domain too. RDF is the default data model of the Semantic Web links, so the evaluation comes back to whether or not RDF can support the required computational power at the linking level. RDF represents semantic relationships with explicitly naming the participating triples, however the enumeration is only one method amongst many for representing relations, and not always the most efficient or viable. In this paper we firstly consider that Turing completeness of binary-linked hypertext is realized if and only if the links are dynamic (functional). Ashman's Binary Relation Model (BRM) showed that binary relations can most usefully be represented with Mili's pE (predicate-expression) representation, and Moreau and Hall concluded that hypertext systems which use the pE representation as the basis for their linking (relation) activities are Turing-complete. Secondly we consider that RDF ---as it is- is a static version of a general ternary relations model, called TRM. We then conclude that the current computing power of the Semantic Web depends on the dynamicity supported by its underlying TRM. The value of this is firstly that RDF's triples can be considered within a framework and compared to alternatives, such as the TRM version of pE, designated pfE (predicate-function-expression). Secondly, that a system whose relations are represented with pfE is likewise going to be Turing-complete. Thus moving from RDF to a pfE representation of relations would give far greater power and flexibility within the Semantic Web applications.

Conventional methods to determine the forgetting factors in autoregressive (AR) models are mostly based on arbitrary or personal choices. In this paper, we present two procedures which can be used to select the forgetting factor in subset AR modelling. The first procedure uses the bootstrap to determine the value of a fixed forgetting factor. The second procedure starts from this base and applies the time-recursive maximum likelihood estimation to a variable forgetting factor. In one illustration using real exchange rates, we demonstrate the effect of the forgetting factor in subset AR modelling on ex ante forecasting of non-stationary time series. In a second illustration, these two procedures are applied to time-update forecasts for a stock market index. Subset AR models not including a forgetting factor act as a set of benchmarks for assessing ex ante forecasting performance, and consistently improved forecasting performance is demonstrated for these proposed procedures.

The agency relationship between managers and shareholders has the potential to influence decision-making in the firm which in turn potentially impacts on firm characteristics such as value and leverage. Prior evidence has demonstrated an association between ownership structure and firm value. This paper extends the literature by examining a further link between ownership structure and capital structure. Using an agency framework, it is argued that the distribution of equity ownership among corporate managers and external blockholders may have a significant relation with leverage. The empirical results provide support for a positive relation between external blockholders and leverage, and non-linear relation between the level of managerial share ownership and leverage. The results also suggest that the relation between external block ownership and leverage varies across the level of managerial share ownership. These results are consistent with active monitoring by blockholders, and the effects of convergence-of-interests and management entrenchment.

There is substantial argument that political risk is an important and increasing influence on international portfolio allocation decisions. The purpose of this paper is to investigate the relation between political risk and stock returns within the context of emerging markets. The issue is examined using a framework that controls for global and local return influences. Consistent with the paper's predictions, the findings reveal that political risk is important in explaining return variation in individual emerging markets, particularly in the Pacific Basin, but not in developed markets. At an aggregate portfolio level, supportive evidence is found of a positive relation between political risk and ex-post returns in emerging markets that is robust to alternative risk measures, and more prevalent during the 1990s.

In this paper, we give an overview of the hybrid model, which is a generic user model that is based on measuring and classifying users' knowledge with respect to multiple knowledge domains simultaneously. In addition, we demonstrate how that model is implemented through the WHURLE (World Hierarchal Universal Reactive Learning Environment) framework, which is an adaptive educational hypermedia framework where different domains could be involved at the same time to concurrently serve a wide range of users of different educational states and of different abilities and backgrounds.

Hedging is claimed to be of fundamental importance in managing the risk of an investment portfolio. Several techniques to assess the effectiveness of a hedge have been suggested in the literature. While these techniques hold theoretical appeal, there is little empirical evidence as to their usefulness. This paper provides an empirical comparison of three measures of hedge effectiveness in the context of hedging market risk using the Australian All Ordinaries Share Price Index Futures contract. The three measures are portfolio S.D. ranking, the Howard and D'Antonio [Howard, C.T., D'Antonio, L.J., 1987. A risk return measure of hedging effectiveness: a reply. J. Finan. Quant. Anal. 22(3), 377–381.] measure and the Lindahl [Lindahl, M., 1991. Risk-return hedging effectiveness measures for stock index futures. J. Futures Markets 11(4), 399–409.] measure. The results indicate that the selection of the particular measure of hedge effectiveness has an impact on the assessment of hedged portfolios. Further, the paper highlights problems that arise in the application of the Lindahl [Lindahl, M., 1991. Risk-return hedging effectiveness measures for stock index futures, J. Futures Markets 11(4), 399–409.] and Howard and D'Antonio [Howard, C.T., D'Antonio, L.J., 1987. A risk return measure of hedging effectiveness: a reply, J. Finan. Quant. Anal. 22(3), 377–381.] measures.

Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local factors rather than global factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether local macroeconomic variables have explanatory power over stock returns in emerging markets. Moderate evidence is found to support this contention. Furthermore, using a principal components approach, two types of commonality in returns are examined. Evidence is found that supports commonality in the factors that drive return variation across emerging markets. A test is also conducted for identical sensitivity to a common set of extracted factors. While little evidence of common sensitivities is found when emerging markets are considered collectively, considerable commonality is found at the regional level. These results have implications for international investors as they suggest that the benefits from diversification are enhanced when the allocation of funds is spread across, rather than within, regions.

We examine whether, and to what extent, the introduction of trading in share futures contracts on individual stocks (i.e., individual share futures, or ISFs) has impacted on the systematic risk and volatility of the underlying shares. The use of ISFs allows a unique experimental design that complements existing work on index futures. Our major findings are as follows. First, we found a general reduction in systematic risk on individual stocks after the listing of futures. Second, we found evidence of a decline in unconditional volatility. Third, we found mixed evidence concerning the impact on conditional volatility. Fourth, the introduction of futures was found to impact on the market dynamics, as reflected by a change in the asymmetric volatility response, although the direction of that change is stock-specific. In general, the results point to a number of features that are case-specific and provide new insights into the mixed results that are typical of existing studies.

In this paper a numerically robust lattice-ladder learning algorithm is presented that sequentially selects the best specification of a subset time series system using neural networks. We have been able to extend the relevance of multilayered neural networks and so more effectively model a greater array of time series situations. We have recognized that many connections between nodes in layers are unnecessary and can be deleted. So we have introduced inhibitor arcs, reflecting inhibitive synapses. We also allow for connections between nodes in layers which have variable strengths at different points of time by introducing additionally excitatory arcs, reflecting excitatory synapses. The resolving of both time and order updating leads to optimal synaptic weight updating and allows for optimal dynamic node creation/deletion within the extended neural network. The paper presents two applications that demonstrate the usefulness of the process.

In this paper we employ a GMM‐based approach to test the restrictions imposed by a two‐factor ‘market and oil’ pricing model when a risk‐free asset is assumed to exist. We examine the Australian market which has several interesting features including self‐sufficiency in relation to oil, a large concentration of natural resource companies, susceptibility to the ‘Dutch disease’ and a diverse industry base. We extend previous literature by examining industry sector equity returns as different industry groups are likely to have different exposures to an oil factor, particularly in Australia. In the formal tests, we find evidence in favour of the model, particularly for industrial sector industries. The preferred model includes a domestic portfolio proxy for market returns in addition to the oil price factor and we find evidence of a positive market risk premium as well as a significantly priced oil factor.

This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional features and recent changes in trading systems have created an ideal environment for examining this issue. We initially find evidence of a substantial bidirectional information flow between the stock and futures markets. The paper then focuses on the period surrounding the move by the Australian stock exchange to automated trading. After the introduction of automated trading, we find a significant change in the information transfer process between the two markets. The findings are consistent with the hypothesis that automated trading results in a richer and more timely information set which accelerates the price discovery process. However, the evidence is not overwhelming and alternative explanations exist.

This paper examines various models of the short‐term interest rate in Australia. The analysis centres on three classes of models. First, the generalised diffusion model of Chan et al. (1992) is examined which allows the variance to be a function of interest rate levels. This model nests a number of the traditional term structure models. We find initial support for the generalised model. Second, we examine models which incorporate time‐varying volatility dynamics. Third, a class of models that incorporates both time‐varying volatility and the levels model is analysed. We extend these models by allowing an asymmetric reaction to news resulting in a threshold‐type model. The paper examines each of the models and then proposes and perfor Ms prediction tests that allow different classes of models to be benchmarked. The second and third class of models appear to produce the most accurate estimates. The results indicate a number of important differences between the Australian market and overseas markets.

Personalization in information systems can be considered beneficial but also ethically and socially harmful. Like many other technologies, the uptake of personalization has been rapid, with inadequate consideration given to its effects. Personalization in e-learning systems also has potential for both harmful and beneficial outcomes, but less is known about its effects. The ethical and social hazards include privacy compromise, lack of control, reduced individual capability, and the commodification of education. Personalization is appearing in many systems already; thus, these hazards may already be occurring. Solutions, more research and community discussion of the issues are needed. Refereed/Peer-reviewed

Traditional tests of asset pricing undertaken within the CAPM framework have provided mixed results. One explanation for the supposed failure of the model is its inability to account for temporal dependence in unconditional residuals which can be induced by time-variation in volatility. This paper provides a test of the conditional CAPM utilising the GARCH-M framework thereby allowing for non-constant variance. The paper utilises data from the Australian equity market and extends existing research by investigating the effect of intervaling by conducting tests over different sampling frequencies. While some support is found for the GARCH-M specification, the inability of the `in-mean' parameter to achieve statistical significance is an empirical limitation. Despite this finding, the conditional CAPM is supported for weekly and monthly return intervals while the greatest support for the model is found in the weekly return interval. Thus, we demonstrate that asset pricing tests in this context are sensitive to the return interval.

The estimation of systematic risk (or ‘beta’) is central to the implementation of the capital asset pricing model and the market model for both researchers and practitioners. It is well known that a variety of beta estimates can result for the one stock depending on various factors such as the calculation of returns, choice of the market index, sample period and length of the estimation period. In this paper, we are concerned with one such factor being the interval over which returns are measured. The impact of the return interval on the beta estimate is known as the ‘interval effect’. There is only limited evidence on the impact of the interval effect outside the US equity market. As such, this paper first documents the impact of the effect in the Australian equity market. The initial results indicate that the beta estimates of high (low) capitalised firms fall (rise) as the return interval is lengthened. The paper then provides an understanding of the effect by testing the model proposed by [Hawawini, G., 1983. Why beta shifts as the return interval changes, Financial Analysts Journal 39, 73–77]. This model provides a prediction of the size and direction of change in the beta estimate as a result of changes in the return interval. The empirical results generally support the predictions. These findings have implications for the use of beta estimates in portfolio and risk management, measurement of abnormal returns and testing of asset pricing models.

This paper re‐examines and extends stock index futures pricing in Australia. The paper has two objectives. First, the paper provides a comprehensive examination of stock index futures pricing which is, as far as possible, free from method bias which has been problematic in previous studies. Second, the paper analyses the behaviour of the mispricing series in relation to a number of explanatory variables. The results indicate that a frequent but small mispricing series is prevalent and highly predictable. The series is related to time‐to‐expiry, which is consistent with the arbitrage position having an option component, and has a positive association with both volatility from the overnight US market and contemporaneous futures market volatility. Some institutional and time features are sample specific, whilst surprises in futures trading volume also have an impact on absolute mispricing. We conclude that the relationship between the markets is dynamic and likely to be driven by more complex nonlinear relationships.

This paper describes the design and initial testing of AnswerPro, a mobile academic peer support system for school pupils aged 11-16 years. AnswerPro is a mobile optimised web application that enables pupils to seek support with school work from knowledgeable peers on various subjects. This paper presents research findings from the project, and in particular, details the design elements embedded within AnswerPro that are based upon teacher and pupil interviews examining motivation, and also from research into academic motivation. A pilot study was conducted with 7 school pupils over 3 weeks. Participants then engaged in a focus group, which discussed their experience using AnswerPro and the motivational elements embedded within it. The authors' findings highlighted some problems with the embedded motivational features. These findings have resulted in potential solutions for the next version of AnswerPro and design implications for practitioners intending to embed motivational elements in their own mobile learning tools.

The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated across markets. Research results in this area have implications for international diversification and market efficiency. This paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature in this area has typically focused on the US market's influence and employed standard ARCH class models to account for the time-variation in volatility. This paper focuses on the trans-Tasman markets and utilises more complex models which allow for an asymmetric response of volatility to past innovations. Time-zone differences in trading hours between Australia and New Zealand are analysed and four models are developed to test for spillover effects. The overnight return (& volatility) from the US market is used to account for the impact of international news. The results indicate that volatility surprises in the larger Australian market influence the subsequent conditional volatility of the smaller New Zealand market. Similarly, the Australian market also appears to be influenced by volatility surprises from the New Zealand market. However, this latter finding is also consistent with contemporaneous market reactions to international news which the daily data set used in this study is unable to isolate.