Finance Research Showcase
Join Dr Gerhard Hambusch and Dr Kingsley Jones as some of our leading minds share the latest research, thinking and practice in finance.
This intimate event, held within the iconic Dr Chau Chak Wing Building, 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 FDG researchers will present their latest research in a fast-paced program consisting of a 5 minute research presentation, 5 minute industry expert feedback and 5 minute audience Q&A.
Industry expert:
Dr Kingsley Jones is Founding Partner/CIO for Jevons Global, a global investment firm.
Topics and speakers include:
- Effects of market fragmentation on resiliency – Dr Ester Felez Vinas
- Oil futures volatility and the economy - Dr Christina Nikitopoulos Sklibosios
- A theoretical and empirical analysis of alternative discount rate concepts for computing LGSs using historical bank workout data - Dr Harry Scheule
- Same bank, same clients but different costs: How do flat-fees for mutual funds affect retail investor portfolios? - Dr Benjamin Loos
This event is for professionals in the finance, investment, banking and related industries and anyone who is interested the latest thinking in these fields.
6.00pm - Registration
6.15pm - Presentations
For event questions please email engagement-finance@uts.edu.au
Title: Effects of market fragmentation on resiliency
Abstract: This study analyses the impact of market fragmentation on resiliency, defined as the speed of recovery of the market, in normal conditions and in times of stress. I find that fragmentation has an overall positive effect on resiliency. Fragmentation increases the average ability of the market to converge towards its long-run liquidity levels by shortening the duration of liquidity deviations. In times of stress, fragmentation also speeds up the replenishment of the limit order book and its ability to recover from the moments of stress. Following the Flash Crash of 2010 and recent episodes of liquidity dry-ups, fragmentation has become a source of concern. Given the rising tendency of markets to fragment, understanding the impact of fragmentation on resiliency is important for regulators and market participants.
Dr Christina Nikitopoulos Sklibosios
Title: Oil futures volatility and the economy
Abstract: Oil futures volatility plays an important role in the global economy. To assess this contribution, we first develop and estimate a multi-factor oil futures pricing model with stochastic volatility which is able to disentangle long-term, medium-term and short-term variations in commodity markets volatility. The volatility estimates reveal that in line with theory, the volatility factors are unspanned, persistent and carry negative market price of risk, while crude oil markets are becoming more integrated with financial markets. After 2004, short-term volatility of futures prices is driven by industrial production, credit spreads and the US dollar index, along the traditional drivers of hedging pressure and VIX. Medium-term volatility is consistently related to open interest and credit spreads, while oil sector variables such as inventory and consumption have a measurable impact after 2004 due to significant structural changes in the economy and the oil sector. Interest rates matter mostly for the long-term futures price volatility.
Title: A theoretical and empirical analysis of alternative discount rate concepts for computing LGSs using historical bank workout data
Abstract: This work summarizes the discussions of the Global Credit Data (GCD) Discount Rate Work Group (WG). The WG does not provide a “correct” number for the discount rate but derives guiding principles for Loss Rate Given Default (LGD) discount rate approaches. The WG has analyzed five main discount rate approaches: Contract rate at origination, Loan weighted average cost of capital, Return on equity, Market return on defaulted debt, and Market equilibrium return.
Title: Same bank, same clients but different costs: How do flat-fees for mutual funds affect retail investor portfolios?
Abstract: What happens when the same large online bank offers the same financial services and same mutual funds at a flat-fee which would be cheaper for one in three of their clients? Surprisingly, on invitation investors are reluctant to use the fee-scheme. A difference-in-differences analysis employing propensity-scores reveals that switchers improve portfolio efficiency and performance. Flat-fees lead clients seeking and following financial advice beyond the cost advantages in the fee-scheme. We reject alternative explanations as sunk-cost fallacy, novelty effects or time and advisor fixed effects. A similar case at a large branch bank mirrors the results.
