The Finance Cluster has expertise in:
- Asset Pricing and Derivatives
- Corporate Finance
- Empirical Finance.
Research interests in the asset pricing area include optimal asset allocation in the presence of return predictability, funds management and performance evaluation, and the incorporation of taxation effects in option pricing models. The Cluster also has expertise in derivatives, econometrics and quantitative finance. Current work examines funds management performance issues, lattice-based models for valuation of interest-rate derivatives, canonical valuation of options under stochastic volatility, non-parametric estimation of state-price densities, and Bayesian estimation and inference for financial models.
Corporate finance activities are focused through the Centre for Valuation and Venture Capital, and a large ARC grant. Current research interests in this area include measurement issues in cost of capital estimation, capital structure analysis, and real options valuation.
In the empirical finance area, staff are involved in a variety of research topics. These activities are supported by ARC funding, with specific projects on international factors in equity and bond markets. Other projects include estimating non-linear interest-rate models, assessing return predictability, Bayesian estimation of short-rate models, methodological issues in measuring abnormal performance.
The Finance Cluster has a strategy of publishing in the highest quality journals, as well as supporting key regional journals. Recent publications have appeared in the Journal of Finance; Journal of Financial Economics; Journal of Business; Journal of Empirical Finance; International Review of Finance; Journal of Futures Markets; Journal of Banking & Finance and The Pacific-Basin Finance Journal.
