Browsing by Author "Murray, L"

Now showing 1 - 5 of 5

Embargo
Asset pricing and downside risk in the Australian share market
(Routledge, 2017-09-14) Alles, L. A; Murray, L
As downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a developed market, the Australian Securities Exchange merits separate investigation, as it is small and concentrated on some sectors, when compared with the major developed markets. As realized returns are a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods. We find that both downside risks are separately priced by investors, and that our results are unaffected by the inclusion of a range of company characteristics. We subsequently confirm that returns to each downside risk are not related. In robustness tests, we conclude that the return to downside risk cannot be explained by a size, a value, or a momentum premium. Although it also has explanatory power, the inclusion of a leverage factor also does not reduce the explanatory power of downside risk.
Embargo
Investment performance and holding periods: An investigation of the major UK asset classes
(Palgrave Macmillan UK, 2009-12) Alles, L. A; Murray, L
The objective of this article is to offer further investigation of the practice of investors to concentrate their investments in cash or bonds as they grow older, and their investment horizons decrease. To provide evidence in this regard, we assess the impact of investment horizon by computing returns, risks and end-of-period wealth distributions of the major UK asset classes, over increasing time horizons. We use monthly observations between 1963 and 2005, and our assessment is based on a block bootstrapping technique. This methodology offers an improvement on previous studies, as it facilitates the retention of past time series patterns of returns. It is likely that these patterns will continue into the future. Results show that investment outcomes at short horizons are different to outcomes at longer horizons. Evidence is provided in favour of time diversification, up to a 5-year horizon. Further, we find that the probability of ending with a shortfall in end-of-period wealth decreases as the holding period lengthens. We also find that higher risk asset classes outperform lower risk asset classes and have higher end-of-period wealth for longer holding periods.
Open Access
Risk factors in the Sri Lankan capital market
(2008) Alles, L. A; Murray, L
This paper examines whether additional risk factors such as the variance, skewness and coskewness of returns offer an appropriate explanation of company returns in the Sri Lankan Capital Market. Arguments for considering these risk factors in pricing models to better deal with the characteristics of a smaller developing capital market are presented. Using individual company returns, empirical tests examine whether the extra risk factors offer a significant explanation of the cross section of returns. Results indicate that while CAPM betas offer little explanation of company returns, variance and, to a lesser extent, skewness are significantly related to returns in this market. Coskewness has little importance. Robustness tests confirm that these measures are unrelated to company size.
Embargo
Under-pricing of South and East Asian IPOs: An investigation of the relevance of governance quality in closely controlled companies
(Elsevier, 2022-11-12) Alles, L; Murray, L
In this paper, we investigate the impact of national governance quality on the under-pricing of initial public offerings (IPOs) in developing South and East Asian equity markets. A significant feature of many listed companies in these markets is the dominant control position of insider shareholders or family groups. We therefore explore the issue of concentrated control when assessing the extent of under-pricing. Concentrated control implies a significant deviation between proportionate ownership and control of company assets. We demonstrate that governance quality is related to IPO under-pricing, contrary to previous research findings on developing markets. This finding is restricted to companies not associated with concentrated control. We use two proxies to identify concentrated control. We initially use the percentage of management control rights. We use company value as an alternative proxy. Our results indicate that the ‘reduced monitoring’ explanation does apply in developing markets, when we allow for the impact of concentrated control.
Embargo
Under-pricing of South and East Asian IPOs: An investigation of the relevance of governance quality in closely controlled companies
(Elsevier Inc., 2023-01-01) Alles, L; Murray, L
In this paper, we investigate the impact of national governance quality on the under-pricing of initial public offerings (IPOs) in developing South and East Asian equity markets. A significant feature of many listed companies in these markets is the dominant control position of insider shareholders or family groups. We therefore explore the issue of concentrated control when assessing the extent of under-pricing. Concentrated control implies a significant deviation between proportionate ownership and control of company assets. We demonstrate that governance quality is related to IPO under-pricing, contrary to previous research findings on developing markets. This finding is restricted to companies not associated with concentrated control. We use two proxies to identify concentrated control. We initially use the percentage of management control rights. We use company value as an alternative proxy. Our results indicate that the ‘reduced monitoring’ explanation does apply in developing markets, when we allow for the impact of concentrated control.