Richard Heaney

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The working paper series is for manuscripts in draft form. Comments are welcome and should be sent to the contact author. Please do not quote without permission. Abstract 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(More)
anonymous referees and the editor for their helpful comments. The market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states.(More)
The working paper series is for manuscripts in draft form. Comments are welcome and should be sent to the contact author. Please do not quote without permission. Abstract The purpose of this paper is to analyse the use of derivative financial contracts in a sample of Japanese firms. Approximately 60% of responding firms use derivatives. Hedging foreign(More)
Tests for active management are inevitably based on averages estimated with 10 years or more of mutual fund monthly returns. In general, these tests implicitly assume that the impact of active management is reflected in a stable and well-behaved increment or decrement to mutual fund returns over the study period. There is virtually no justification(More)
Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller's test suggests the possibility(More)
The working paper series is for manuscripts in draft form. Comments are welcome and should be sent to the contact author. Please do not quote without permission. Abstract While executive directors are responsible for superior performance, their behaviour may not always be aligned with shareholder interests. Non-executive directors provide one method of(More)
This paper proposes measures of systematic skewness and systematic kurtosis as symmetric measures of risk by extending the work of Kraus and Litzenberg (1976). We examine an asset pricing model that incorporates systematic skewness and systematic kurtosis to test the cross section of asset returns within the context of the Fama and MacBeth (1973) two-pass(More)
Draft only – do not quote without permission This project has benefited from research funds generously provided by the Melbourne Centre of Financial Studies through a Melbourne Centre Academic Research Grant. Thanks to research assistance from Ms Zarina MD Nor, Dr Tianshu Liu and Ms Emily Hallahan. Remaining errors are the sole responsibility of the authors.
The growing level of undistributed franking credits held by Australian companies provides an important puzzle for finance theory. In 1987, the Australian Government set up a system of tax credits to address the problem of double taxation of dividends. Double taxation of dividends arises in a classical system when earnings are taxed at the corporate level at(More)
Project objectives This project focuses on bank financial distress and the study period will include the global financial crisis (GFC). It is often suggested that banks cannot fail but some banks did fail during the GFC (US: Lehman Bros, Washington Mutual). Other banks, while not actually being allowed to fail, did require nationalization, considerable cash(More)