PhD Students
Some Current Finance PhD Students
| Research Student | Thesis Topic | Thesis Description |
|---|---|---|
Rating History and the Dynamic Estimates of Rating Migration Probabilities | This research undertakes a comprehensive analysis of credit rating dynamics and establishes stylized facts on the behaviors of rating migrations in the US setting. Using Standard & Poors CreditPro2005 dataset, this research incorporates integrated baseline hazard using Andersen's method (Andersen P.K., 1992) into time-dependent Cox's hazard model to address four key issues: (i) Investigate non - Markovian behaviours in rating migration dynamics over different time periods; (ii) Analyse the rating dynamics of fallen angels, rising stars, and big rating jumpers (firms experienced historical big rating jumps) in relation to their respective peers; (iii) Predict the dynamic changes of rating migrations in respect of time-dependent endogenous and exogenous predictors; and (iv) Assess the predictive accuracy of dynamic probabilistic rating forecasts using alternative scoring rules. Associate Professor Graham Partington and Professor David Johnstone are supervising this project. | |
Maria Kim | Predicting financial distress - Which approach is best? | This study uses the financial data in order to build models to predict firms' financial distress. It aims to develop a reliable financial distress prediction model using state-of-the-art techniques to accurately predict firms' survival probabilities over a period of time. A model shall be developed that achieves both optimal and sustainable prediction ability for corporate failure. Associate Professor Graham Partington and Professor Stewart Jones are supervising this project. |
| Jennifer Kruk | Essays on execution costs in futures markets | This dissertation contains several essays on execution costs in futures markets. The first essay is an international analysis of price impact and its components in futures markets. The second essay reconciles an inconsistency in futures microstructure literature and examines whether institutional transactions in futures markets contain information. Results indicate that institutional transactions in futures markets do not contain information. The third essay compares execution costs in short-term interest rate futures with underlying over-the-counter products. Professor Alex Frino and Mr Robert G. Elstone are supervising this project. |
The effect of liquidity and comparative spreads with the introduction of algorithmic trading | Since the introduction of algorithmic trading in the Australian market, liquidity has improved. Is there any correlation between algorithmic trading and liquidity? Empirical evidence illustrates that the association between idiosyncratic liquidity and algorithmic trading activity are negatively correlated. Algorithmic trading leads to greater competition in liquidity provision, thereby improving liquidity. Sorting out causality requires an exogenous instrument. These exogenous instruments are the introduction of anonymity and the new pricing structure. Decomposing the spread in non-informational and informational components of trading cost reveals increased algorithmic trading lowers the informational component and decreases the amount of price discovery. Dr Joakim Westerholm and Dr Hui Zheng is supervising this project. | |
Closing price manipulation and promotion of the integrity of equities exchanges | This thesis addresses the central research question of how and why closing price manipulation occurs on equities exchanges with the aim of gaining insight into how to reduce its rate of occurrence. An empirical investigation of actual manipulation cases is used to show the impact of manipulation on equities exchanges and to construct an index of closing price manipulation. This index is used to gain insight into why manipulation occurs, the characteristics of frequently manipulated firms and market design features that reduce manipulation. Using these insights, strategies to reduce the rate of manipulation and promote market integrity are discussed. Associate Professor Carole Comerton-Forde and Dr Maxwell Stevenson are supervising this project. | |
Essays on the Use of Derivatives by Institutional Investors | This dissertation contains several essays on how institutional investors use or could potentially use derivatives to augment investment returns. The first essay documents the improvement in fund manager performance associated with cash equitisation of investor fund flows. Results indicate that fund managers that cash equitise are able to significantly lessen the burden of increased investor flows and achieve lower tracking error. The second essay examines the determinants of corporate credit spreads, while the third essay examines the profitability of technical trading rules in derivatives markets. Professor Alex Frino and Professor George H. K. Wang (George Mason University) are supervising this project. |