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Associate Professor Benjamin Hunt

Biography

Ben Hunt is an Associate Professor in the School of Finance and Economics. He is currently the Associate Dean (Teaching and Learning) after serving as Head, Graduate School of Business and Director of the MBA program. Ben has degrees from Adelaide University, including a Master's thesis on the Sydney Futures Exchange, and a Doctorate from the Australian National University. His PhD focussed on an examination of the determinants of Australian interest rates and exchange rates. Ben Hunt's unique combination of mathematical, economic and computing skills ideally suit him for research into applied financial problems. His latest published work concentrates upon the predictability of implied volatility and its application to option trading systems. In addition to his academic work, he has consulted extensively to the private sector. Ben Hunt is consistently rated highly for his ability to translate theory into practice through his excellent communication style. He is widely regarded as an expert on risk management in the Asia-Pacific region and is a regular presenter for the Euromoney Institute of Finance.

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Associate Professor, Finance Discipline Group
BAgSc (Adel), BEc (Adel), MAgSc (Adel), PhD (ANU)
 
Phone
+61 2 9514 4018

Research Interests

Risk management; options and futures pricing volatility.

Financial institutions and markets; and investments.

Books

Hunt, B.F. & Terry, C. 2008, Financial institutions and markets, 5th, Thompson, Melbourne, Australia.
Hunt, B.F. & Terry, C. 2005, Financial institutions and markets, 4th, Nelson ITP, Melbourne, Australia.
Hunt, B.F. & Terry, C. 2002, Financial institutions and markets, 3rd, Nelson ITP, Melbourne, Australia.
Terry, C., Hutcheson, T.J. & Hunt, B.F. 2000, Introduction to the financial system, Nelson Thomson Learning, South Melbourne, Australia.
Hunt, B.F. & Terry, C. 1997, Financial institutions and markets, 2nd, Nelson ITP, Melbourne, Australia.
Hunt, B.F. & Terry, C. 1994, Financial institutions and markets, 1st, Nelson ITP, Melbourne, Australia.

Conferences

Hunt, B.F. 2010, 'The effect of the GFC (and Other Busts) on Portfolio Diversification Benefits', Finance and Corporate Governance Conference, Melbourne, Australia.

Journal articles

Hunt, B.F. & Terry, C. 2011, 'Australian equity warrants: Are retail investors getting a fair go?', JASSA, vol. 2011, no. 4, pp. 38-44.
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The ASX has two functionally similar markets for contingent equity contracts a warrants market principally serving retail investors and an ETO market that may be used by retail and professional traders. Using pricing and volatility comparisons, this study finds that warrants are generally overpriced and are significantly dearer than their ETO equivalents. The paper recommends that short selling be allowed in the warrants market in order to reduce the pricing differentials and end the systematic exploitation of retail warrant investors by warrant issuers.
Hunt, B.F. 2005, 'Feasible high growth investment strategy: Growth optimal portfolios applied to Dow Jones stocks', Journal of Asset Management, vol. 6, no. 2, pp. 141-157.
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Hunt, B.F. & Bhar, R. 1993, 'Exploiting volatility movements in the Sydney futures exchange's bank bill contract', International Review of Economics and Finance, vol. 2, no. 4, pp. 403-415.
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An appropriate stochastic model was fitted to one year of data on the implied volatility of options on 90 day bank accepted bill futures contracts traded in the Sydney Futures Exchange. The model used was ARIMA augmented with day of the week variables, an option time to maturity variable, and recent values of historic volatility. The high ex-post predictive accuracy of the model was then employed as the central element of a strategy of buy low/sell high volatility. We employed two trading schemes with suitably constructed Delta neutral portfolios comprising bill futures and call and put options on those futures over a period of six months, to test whether speculative trading profit could be earned. The existence of trading profits before transaction costs validated the potential of the buy low/sell high volatility strategies to generate speculative profits. The absence of any such trading profits after transaction costs however, showed that the market pricing of these securities is such that the dependencies within implied volatility cannot be profitably exploited. This result may be interpreted as evidence supporting an hypothesis of a semi-strong form of market efficiency. © 1993.
Bhar, R. & Hunt, B.F. 1993, 'Predicting the short term forward interest rate structure using a parsimonius model', Review of Futures Markets, vol. 12, no. 3, pp. 577-590.
Hunt, B.F. 1992, 'A forecasting model of option price volatility', Review of Futures Markets, vol. 11, no. 3, pp. 355-366.
HUNT, B.F. 1982, 'CORRECTION', JOURNAL OF MONETARY ECONOMICS, vol. 9, no. 3, pp. 401-401.
HUNT, B.F. 1981, 'ESTIMATION OF A SYSTEM OF LINEAR DYNAMIC ASSET DEMAND EQUATIONS - COMPUTATIONAL CONSIDERATIONS', ECONOMICS LETTERS, vol. 8, no. 4, pp. 355-360.
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HUNT, B.F. & VOLKER, P.A. 1981, 'A SIMPLIFIED PORTFOLIO ANALYSIS OF THE LONG-RUN DEMAND FOR MONEY IN AUSTRALIA', JOURNAL OF MONETARY ECONOMICS, vol. 8, no. 3, pp. 395-404.
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HUNT, B.F. & UPCHER, M.R. 1979, 'GENERALIZED ADJUSTMENT OF ASSET EQUATIONS', AUSTRALIAN ECONOMIC PAPERS, vol. 18, no. 33, pp. 308-321.
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HUNT, B.F. & VALENTINE, T.J. 1978, 'INTERDEPENDENCE OF MONETARY-POLICY AND CAPITAL FLOWS IN AUSTRALIA - COMMENT', ECONOMIC RECORD, vol. 54, no. 146, pp. 281-285.
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Hunt, B.F. 1974, 'SHORT RUN PRICE CYCLES IN THE SYDNEY WOOL FUTURES MARKET', Australian Journal of Agricultural Economics, vol. 18, no. 2, pp. 133-143.
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Evidence of systematic short run price movements in Sydney wool futures prices is presented. Traders' reaction to market uncertainty is suggested as a rationale of wool futures price periodicity. There is also a discussion of the significance of the cycle with regard to the efficiency of the market. 1974 The Australian Agricultural Economics Society

Other

Hunt, B.F. 2002, 'Growth optimal investment strategy efficacy: An application on long run Australian equity data', Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney.
Research Paper Number: 86 Abstract: A number of investment strategies designed to maximise portfolio growth are tested on a long run Australian equity data set. The application of these growth optimal portfolio techniques produces impressive rates of growth, despite the fact that the assumptions of normality and stability that underlie the growth optimal model are shown to be inconsistent with the data. Growth optimal portfolios are constructed by rebalancing the portfolio weights of 25 Australian listed companies each month with the aim of maximising portfolio growth. These portfolios are shown to produce growth rates that are up to twice those of the benchmark, equally weighted, minimum variance and 15% drift portfolios. The key to the success of the classic, no short-sales, growth optimal portfolio strategy lies in its ability to select for portfolio inclusion a small number of Australian stocks during their high growth periods. The study introduces a variant of ridge regression to form the basis of one of the growth focussed investment strategies. The ridge growth optimal technique overcomes the problem of numerically unstable portfolio weights that dogs the formation of short-sales allowed growth portfolios. For the short sales not allowed growth portfolio, the use of the ridge estimator produces increased asset diversification in the growth portfolio, while at the same time reducing the amount of portfolio adjustment required in rebalancing the growth portfolio from period to period.
Hunt, B.F. & Terry, C. 1998, 'Zero-Coupon Yield Curve Estimation; A Principal Component, Polynomial Approach'.
Polynomial functions of the term to maturity have long been used to provide a general functional form for zero-coupon yield curves. The polynomial form has many advantages over alternative functional forms such as Laguerre, when using non-linear least squares to estimate zero-coupon yield curves with coupon bond data. Most importantly the polynomial form invariably enables convergence of the etimation process. Unfortunately, the simple polynomial form results in estimated models of zero-coupon yield curves that approach either plus or minus infinity as the term increases. This unsatisfactory aspect of the simple polynomial is inconsistent with both theoretical considerations and observational reality. We propose a new zero-coupon yield curve functional form consisting not of simple polynomials of term, tau, but rather constructed from polynomials of 1/(1+tau). This form has the desirable property that long-term yields approach a constant value. Further, we model zero-coupon yields as a linear function of the first k principal components of p polynomials of (1/(1+tau), k The principal components of poynomials of 1/(1+tau) model is applied to Australian coupon bond data. The results compare favourably to those obtained using the traditional polynomial term model.