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Volume 16, Numbers 3 & 4 / September/December 2012 , Pages 155-301
Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 155-188
Robert Faff , University of Queensland, Australia
Annette Nguyen , Deakin University, Australia
Bonnie H.I. Ip , BPM Financial Modelling, Australia
Philip Gharghori , Monash University, Australia    Corresponding Author

Abstract:
This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund classes are more exposed to the riskier benchmarks. Further, differences in institutional and legal settings lead the managers of managed and superannuation funds to invest differently, with the latter employing a more conservative investment strategy despite having longer investment horizons.

Keywords : Style analysis; managed funds; superannuation funds; fund performance
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Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 189-223
Stephen Matteo Miller , Monash University, Australia    Corresponding Author

Abstract:
Selling (buying) a country’s equity index in exchange for equity investments elsewhere during a stock market crash (boom) is analogous to exercising an option to exchange an underperforming country (global benchmark) index for a global benchmark (country) index. This can be shown by extending an existing single factor option pricing framework to determine the exchange option value of entering and exiting an emerging market. As country betas, corrected for non-synchronous trading bias, rise during the Asian Crisis and fall thereafter, exit option values on average increase by at least 14 cents per dollar invested for each unit increase in country betas during the first stage of the crisis in 1997. Exit option values on average rise by 29 cents per dollar invested during the last stage in January 1999. So even if the benefits of diversification fall during a crisis, the effects of a crisis might be hedged.

Keywords : Country Systematic Risk and Risk-Adjusted Performance; Exchange Options; International Transmission; Net Capital Flow Monitoring; Non-synchronous Trading Bias
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Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 225-260
Jean Canil , University of Adelaide, Australia    Corresponding Author
Bruce Rosser , University of Adelaide, Australia

Abstract:
We test the option incentive models of Hall and Murphy (2000, 2002) and Choe (2003). Hall and Murphy (2000, 2002) posit optimal grant size and exercise price contingent on the executive’s levels of risk aversion and private diversification. Choe (2003) relates these choices to firm characteristics, principally the target risk level and financial leverage. A unique hand-collected data set of Australian grants is employed, wherein exercises prices and grant sizes are unconstrained by taxation and accounting practices. The Hall and Murphy (2000, 2002) model is found to explain observed exercise prices while neither model satisfactorily explains grant sizes. However, there is some evidence that CEO influence is associated with larger grants than posited by these optimal incentive models, but does not impact on exercise prices.

Keywords : Executive; stock options; optimal; grant size; exercise price; governance
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Multinational Finance Journal, 2012, vol. 16, no. 3/4, pp. 261-301
Seraina Anagnostopoulou , Athens University of Economics and Business, Greece    Corresponding Author

Abstract:
This study comparatively examines the determinants of working capital management for listed vs. unlisted firms, and assesses the impact of this policy on profitability by focusing on the cash conversion cycle, a commonly used measure of working capital management. By using a large UK public and private firm sample, it is found that private firms have significantly lower cash conversion cycles than their public counterparts, and that traditional determinants of the cycle significantly differ between the two groups. The findings are robust to matching public and private firms according to a number of fundamental characteristics, allowing only for their listing status to differ. Results further indicate that the cash conversion cycle has a relatively stronger (negative) impact on operating profitability for private, compared to public firms. This is consistent with greater importance of efficient working capital management for firms with more restricted access to external financing.

Keywords : working capital; cash conversion cycle; private firms; listing status
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