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 Please do not quote without permission.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)
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 Please do not quote without permission.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)
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)
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 Please do not quote without permission.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)
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)
The nature of investing in share markets is undergoing significant changes due to the growth in electronic or online trading. Online trading has meant increased trading by new types of traders, often relatively inexpert. This paper reports a study that investigated whether more active trading by novice traders, meaning reduced decision making time, was(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. This paper presents a new Cumulative Sum approach for the detection of turning points in financial time series that are subject to cyclical mean level and volatility regime shifts. The(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 In the last decade financial risk management in public sector organisations has become of greater interest to the public, politicians and regulators. Derivatives are commonly used to(More)