Finance Research Showcase
Finance Research Showcase - Autumn 2020
Join the UTS Finance Department as as some of our leading minds share the latest research, thinking and practice in finance.
This online event provides a brief snapshot into the fields of finance research that are shaping the future of thinking and practice in Sydney, Australia, and beyond.
Four Finance Department researchers will present their latest research in a fast-paced program consisting of a five minute research presentation, five minutes of industry expert feedback and five minutes audience Q&A.
Dr Laura Ryan - Head of Research at Ardea Investment Management
Dr Laura Ryan is Head of Research at Ardea and is responsible for both the Client Solutions and Portfolio Research teams. Laura is an internationally published academic with papers appearing in ‘The Journal of Portfolio Management’ and ‘The Journal of Forecasting’, among others. Previously, Laura was Senior Vice President (Quantitative Research) and a member of the Australian senior management team at PIMCO. With 21 years investment experience, Laura’s other roles include Manager of Quantitative Strategy at Commonwealth Bank, Quantitative Manager at AMP Capital and Lecturer in Statistics at the Australian National University (ANU). Laura holds a Ph.D. in statistics from the ANU, a Master of Quantitative Finance from the University of Technology Sydney and an Honours degree in Actuarial Studies from the ANU.
Topics and speakers include:
Impact of income and payment shocks on mortgage defaults – Professor Harry Scheule
The economic impact in energy markets via volatility persistence - Dr Christina Nikitopoulos Sklibosios
Corporate cash holdings and relationship lending - Dr Thomas Matthys
Decision to fire subordinates and CEO turnover - Dr Jing Xu
This event is for professionals in the finance, investment, banking and related industries and anyone who is interested the latest thinking in these fields. Dr Gerhard Hambusch from the UTS Finance Department will facilitate this online event.
For event questions please email email@example.com
Title: Impact of income and payment shocks on mortgage defaults
Abstract: We quantify the impact of expense and payment shocks on mortgage defaults. We consider shock size, income levels and liquidity/refinance constraints. The principles may be applied to income shocks that we currently observed in presence of COVID-19.
Title: The economic impact in energy markets via volatility persistence
Abstract: Energy markets are highly integrated with the global economy. This study identifies transmission mechanisms of the impact of economic factors in the volatility of energy markets. We find a strong economic dependence of the volatility persistence on market and economic conditions, which is not directly affecting the energy volatility levels. Oil markets are more responsive compared to other energy markets. By embedding this economic dependence in the volatility persistence, the forecasting performance of the volatility energy models is significantly improved.
Title: Corporate cash holdings and relationship lending
Abstract: We examine the eﬀect of relationship lending on a ﬁrm’s cash-holding levels. Relationship lending allows a lender to generate private information about its borrowers at a lower cost compared to an arm’s-length lender. This advantage of relationship lending can mitigate ﬁnancial constraints of the borrower. We ﬁnd that the level of cash holding for ﬁrms with a relationship lender is signiﬁcantly lower compared to ﬁrms that borrow from non-relationship lenders. We show that access to a relationship lender is associated with signiﬁcantly lower levels of cash holding for ﬁrms which operate in industries that have high cash ﬂow volatility. Our ﬁnding is consistent with borrowing relationships reducing the cash holding need for precautionary purposes. Finally, we show that relationship lending is not associated with the market value of ﬁrms’ cash holdings. Our results provide empirical evidence that relationship lending is related to the composition of short-term assets chosen by ﬁrms.
Title: Decision to fire subordinates and CEO turnover
Abstract: I construct an executive data from SEC filings to study CEOs’ decisions to fire or retain their subordinates. I find high non-CEO executive departure to performance sensitivity though CEOs stay, especially in firms that are under higher monitoring. After executive departures, CEOs are more likely to keep their jobs and their turnover to performance sensitivity is lower. In addition, executive departures take place when firms retrench and are associated with improvement in performance. The results are consistent with the conjecture that some CEOs fire their subordinates following poor performance, and they are rewarded for initiating changes. This study sheds light on why some badly-performing CEOs are retained.