Discussion paper

The rise in household liquidity

This paper explores the determinants of liquidity across households and over time, using a range of household surveys for Australia. The authors find that household liquidity is strongly associated with life cycle factors, such as age and housing tenure.
Working paper

Heterogeneity in the effects of algorithmic and high-frequency traders on institutional transaction costs

The net effects of algorithmic and high-frequency traders mask considerable heterogeneity in how they impact institutional transaction costs. Using regulatory data, we analyze the heterogeneity across individual trading accounts. We develop a method to identify subsets of traders causally related to higher institutional transaction costs...
Working paper

Liquidity constraints, home equity and residential mortgage losses

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with...
Working paper

The Impact of Pillar 3 Disclosures on Asymmetric Information and Liquidity in Bank Stocks: Multi-Country Evidence

Theory suggests that increasing the public availability of regulatory information may hurt the information environment of bank stocks. It is therefore not clear whether the Basel Accord’s intent to foster market discipline by requiring banks to publish information on their risk management practices and exposures...
Working paper

Fool’s mate: what does CHESS tell us about individual investor trading performance?

Abstract: We investigate the short-term relation between individual investor trading and stock returns on the Australian Securities Exchange. Stocks heavily bought by individual investors underperform stocks heavily sold over the subsequent three days, with respective returns on to a long-short portfolio of -93, -67 and...
Working paper

The Safe Asset Frontier

We identify the frontier between safe and unsafe assets and show how the growth rate of the economy and its fiscal capacity interact with differences of opinion amongst investors to determine the safe asset equilibrium. Multiple equilibria emerge in our set-up due to strategic complementarities...
Working paper

Sovereign Wealth Funds: the good guy investment actors

Sovereign wealth funds (SWFs) have been portrayed in some quarters as potential bad guys in global financial markets due to their supposed political as opposed to commercial intentions and influence. However, two key international developments during and since the 2008/2009 Global Financial Crisis have prompted...