THE COUPON EFFECT ON TERM PREMIUMS

Monthly holding period returns for U.S. Treasury bills and notes of identical maturity indicate a significant coupon effect upon term premiums. Hotelling's T² test of the vectors of mean term premiums indicates that term premiums are not statistically significant for notes but are significant for bills. Mean-variance and stochastic dominance criteria indicate an investment preference for bills over notes on a pretax basis. Because the data set is Treasury bills and notes, which are identical except for coupon level, these results are evidence of a coupon effect on term premiums.     

An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Financial Sector Stock Return Distributions

Abstract:   This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH‐M model is used to analyse the impact of deregulation on the financial institutions sector. It was found that there is a consistent inter‐temporal trade off between risk and return over the different regulatory periods. Moreover, finance corporations were found to be highly sensitive to new shocks across the financial sector and deregulation increased the risk faced by finance corporations and small banks – effectively increasing the required rate of return and explaining the continued rationalisation of these sectors. Furthermore, deregulation has changed the fundamental relationship between interest rates and large bank stock excess returns from positive in the pre‐deregulation period to negative in the post‐deregulation period. This reflects the changing institutional environment from one of controlled credit rationing to a more competitive environment.     

On the Choice of Superannuation Funds in Australia

Using a sample of Australian retail and wholesale superannuation funds to proxy for choice and limited choice alternatives, respectively, we investigate the costs and benefits of providing choice to investors. We find that investors who have choice don't respond to fees. Also, loads - typical of the choice environment - are likely to be a dead-weight loss borne by investors. Employees who involuntarily contribute to (employer) funds, tend to pay the lowest fees. Given these results, the advantages of choice become questionable. Our results show that managers of limited choice funds achieve greater positive abnormal returns than retail fund managers. The analysis of flows provides insight into why choice funds do not perform better than limited choice funds. Investors are not responding to historical performance as predicted.     

An International Investigation of Problem‐Solving Performance in the Semiconductor Industry*

Using a unique survey of engineers in major semiconductor companies located in Japan, South Korea, and the United States, this article analyzes how a firm's human resource (HR) system (i.e., practices that structure work, develop skills, and reward performance) and knowledge system (i.e., information access, sharing and control) are related to the problem‐solving performance of engineers. Because of the short product market life cycles in the semiconductor industry, expeditious problem solving is an important performance goal. Therefore, this article examines the performance of engineers in terms of the time it takes them to solve problems in the context of their firms' HR and knowledge systems. It was anticipated during this study that externally oriented organizational systems, which support individual career performance and mobility (an externally oriented HR system) and the use of private knowledge sources (an externally oriented knowledge system), would be associated with superior performance in terms of problem‐solving speed. The findings support this hypothesis and demonstrate the importance of externally oriented HR systems and at the same time suggest the surprising insignificance of the orientation of the knowledge systems. These findings are applicable to engineers in the sample from the United States, whereas the findings for the Korean and Japanese engineers are inconclusive. International variation is found where the U.S. engineers work under the most externally oriented and the Japanese engineers under the least externally oriented systems, and the Korean engineers fall in between. The findings of this article suggest that when constructing a work environment for new product development, managers should take into account how the underlying components of their organizational systems contribute to an internal or external focus, and how this orientation may influence performance.     

Does market misvaluation help explain share market long‐run underperformance following a seasoned equity issue?

We examine the relation between pre‐seasoned equity offering (SEO) announcement date misvaluation and long‐run post‐SEO performance for a large sample of Australian SEOs made between 1993 and 2001. Our study is motivated by inconsistent findings across countries with respect to the SEO long‐run underperformance anomaly first documented in the USA, inconclusive findings with respect to the hypothesis that managers exploit market misvaluation when timing equity issues, and a recent Australian Stock Exchange proposal to loosen SEO regulation. We find SEO firms underperform common share market benchmarks for up to 5 years after the announcement. Using a residual income valuation method, we show that this underperformance is related to pre‐announcement date misvaluation. An unexpected result is that underperformance and misvaluation are more severe for private placements than rights issues. Institutional factors unique to the Australian setting, particularly the large number of smaller loss‐making firms among private placement issuers, appear to explain the poorer performance of placement firms. Our results are robust to various measurement methods and assumptions, and demonstrate the importance of researching SEO performance in alternative institutional settings.     

Keynes on Global Economic Integration

Keynes's vision of how to reorganize the world's financial system after World War II was rooted in his longstanding effort to understand both the strengths and weaknesses of the pre-1914 era of globalization under the gold standard.     

The Effect of Bank Debt Downgrades on Stock Prices of Other Banks

We find that debt downgrades of money center banks elicit negative stock price responses in nondowngraded money center banks. Stock prices of larger regional banks also react to these downgrades. Although downgrades of regional banks evoke negative stock price responses for regional banks in the same geographic region, the importance of geographic region as a factor determining the extent of intra‐industry reactions has diminished since 1989. Our results indicate that the merger and expansion activities triggered by interstate banking have blurred differences between regional and money center banks as interstate banking activity has moved towards nationwide banking     

The Emergence of Post-Suburban Landscapes on the North Coast of New South Wales: A Case Study of Contested Space

Since 1980, population trends in Australia have indicated new patterns of urbanization involving substantial growth not only in the dominant conurbations, but also in suburban areas and in an extensive coastal zone (Paris, 1994). Comparisons can be made with the emergence of post-suburban forms and processes in other parts of the world (Kling et. al., 1991). The principal aim of this paper is to present an analysis of some of the major local development conflicts and planning and environmental protection issues that are being faced by developers, planners and local communities as the urban restructuring of Australia takes place. The paper draws on evidence of urbanization on the upper North Coast of New South Wales and provides a detailed examination of two shires in the region — Ballina and Byron — where a study was carried out by the authors in 1994 and 1995. Previous research on the population and development trends in Australia is reviewed to provide a context within which the patterns in New South Wales and its North Coast may be placed, and a discussion is presented of the implications of new development with reference to Ballina Shire and Byron Shire. The usefulness of the postfordist model as an explanatory framework for examining these post-suburban landscapes and contested space issues on the North Coast of NSW is also explored.