MELBOURNE CENTRE FOR FINANCIAL STUDIES
MAn
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Rev
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200
5-20
06
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The Melbourne CenTre for finanCial STudieS
level 12, 330 Collins St
Melbourne
Victoria
australia 3000
Ph: (+61) 03 9613 0930
fax: (+61) 03 9613 0900
http://www.melbournecentre.com.au
The Melbourne Centre was established as an initiative of the Victorian
State Government. at the opening of the Centre, the Minister for financial
Services, andré haermeyer MP, noted:
“The Melbourne Centre for financial Studies is the Victorian
Government’s centrepiece initiative of the industry action Plan:
investing in Victoria’s future. The Melbourne Centre brings together
Victoria’s key financial services research organisations and through
their strong links to financial services industry, the Centre will help
promote Melbourne as a leader in financial research.”
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MeSSaGe froM The ChairMan
On behalf of the Board of the Melbourne Centre for Financial Studies, I am
delighted to present this report on the Centre’s activities for the first �� months of
its operations.
The Melbourne Centre has, in this short space of time, established itself as a
valuable interface between industry and academic researchers in the finance
sector, and has initiated a substantial program of research and events.
I would like to congratulate the Victorian Government on its foresight in facilitating
and providing seed funding for the Melbourne Centre. The financial and strategic
support of the founding consortium members (Melbourne, Monash and RMIT
Universities, and Finsia) has enabled the Centre to develop its activities and profile
more rapidly than any of us expected.
I would especially like to record my thanks to AAMI, as the first corporate sponsor
of the Melbourne Centre for their financial support, and to Mr Michael Kay (Chief
Operating Officer, AAMI) for his participation in, and contribution to, the Centre’s
Board of Management.
I would also like to record my thanks to the Commonwealth Bank of Australia
for its support of the Melbourne Centre through its sponsorship of the
Commonwealth Bank Chair of Finance at the University of Melbourne which is
held by the Centre’s Director.
John unkles
Chairman
Melbourne Centre for financial Studies
11 September 2006
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The Melbourne Centre for financial Studies was launched by the Minister for
financial Services, andré haermeyer MP on august 18, 2005. The Minister and
inaugural members of the Centre’s board are shown above.
PiCTure
from l to r: Professor robert brown, Professor Tony naughton, Mr John
unkles, Professor Jayne Godfrey, The Minister for financial Services andré
haermeyer MP, Professor Kevin davis
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baCKGround
The Melbourne Centre for Financial Studies is a partnership between public and private sectors, and between industry and academe. The mission of the Centre is to enhance Melbourne’s national and international reputation for excellence in financial practice, research and education.
The importance of the finance sector as the backbone of economic and social
development is continually increasing. The range of financial services activities,
risks and opportunities are becoming ever broader and more complex. The
intersection of academic and practitioner interests and expertise continues to
expand, creating significant growth opportunities for communities possessing the
necessary skills and infrastructure. The Melbourne Centre is based on a vision
that its partnership model will deliver benefits for Melbourne as a whole, as well
as for its participating institutions.
The Centre undertakes finance research, provides consulting services, and organizes
conferences, workshops, public lectures and other educational activities.
The Melbourne Centre is an initiative of the Victorian State Government. The
founding members of the Centre are Melbourne, Monash and RMIT Universities
and Finsia (the Financial Services Institute of Australasia). The Centre commenced
activities in July �00�. Financial support from industry is one of the key ingredients
for its long run success and the Melbourne Centre has benefited from the support
of AAMI Insurance as its first Industry member and the CBA which is the sponsor
of the Commonwealth Bank Chair of Finance held by the Centre’s Director.
The Centre has an Industry Advisory Committee comprising prominent individuals
from the Melbourne business and finance communities who provide guidance and
advice.
The Melbourne Centre conducts its research program primarily through academic
associates at its founding members.
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baCKGround (ConT)
Key areas of specialisation are:
• financial regulation
• funds management
• new financial markets and instruments.
These are areas of particular interest to the financial community with substantial
opportunities for synergies between industry and academic researchers, and
opportunities for research which contributes to the development of the Melbourne
financial sector.
Competitive research grants have been made to support a number of projects in
these and other areas and are listed on the following pages.
Conferences, workshops and seminars are an integral part of the Centre’s
activities with a particular focus on structuring events which bring together
academics and practitioners for sharing of ideas. The program of events held to
date and currently planned for �00� is listed on the following pages.
Enquiries regarding the Centre’s activities should be directed to any of the staff of
the Centre as listed at the the end of this report.
Following a significant initial grant from the Victorian Government, the funding of
the Melbourne Centre is based on contributions, cash and in-kind support from its
founding Universities and FINSIA. FINSIA provides financial and in-kind support,
the latter including office space and secretarial/administrative functions.
The business plan of the Melbourne Centre envisages that ongoing funding will be
obtained from a variety of additional sources.
These include:
• Contributions from new industry members wishing to support the
activities of the Centre
• Funds raised from contract research and consulting
• Profits generated from conferences, seminars and training activities.
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The firST TWelVe MonThS: a ProGreSS rePorT
Professor Kevin DavisDirector, Melbourne Centre for Financial Studies
In its first year of activities, the Melbourne Centre has focused upon building
linkages between the academic and business communities through: hosting
conferences and workshops; initiating a research program of relevance to
industry; consulting work; and participation in public debate and discussion.
Consulting clients have included: the Federal Treasury; the Finance Sector Union;
WAW Credit Union. In addition, the Melbourne Centre was heavily involved in
assisting FINSIA in conducting the �9th International Banking Summer School
for over �00 international bankers, held in Melbourne from August ��th to
Septermber �th.
The Melbourne Centre has been involved in presentations at conferences and
events including, in recent months,
• Finance and Treasury Association National Congress, Melbourne,
September �00�
• �nd ABAC Public - Private Dialogue on Basel � and Banking Regulation,
Kuala Lumpur, August �00�
• Asian Finance Association Conference, Auckland, July �00�
• Finance Industry Consultative Council – June �00�
• Union Network International – �nd Finance Conference, Geneva, May �00�
Over the coming year, the main thrust of the Centre’s activities will be:
• To further develop its research program, building particularly on
initiatives already underway in the areas of funds management and
financial regulation.
• To develop a reputation for thought leadership in the finance sector
through publication and distribution of articles by its academic
associates targeted at practitioners.
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The firST TWelVe MonThS: a ProGreSS rePorT (ConT)
• To build closer relationships with industry researchers through
development of partnerships with a range of companies, government
authorities, and industry associations.
• To secure financial commitment from key stakeholders in the finance
sector to support the work of the Melbourne Centre in enhancing the
reputation of the Melbourne financial services sector as a centre of
expertise in research, education, and practice.
I would like to take this opportunity to thank the staff of the Melbourne Centre,
Carmel Romano of Finsia for administrative support, the Industry Advisory
Committee, and the Centre’s Board of Management for support and guidance.
Kevin davis
Commonwealth bank Chair of finance
director, Melbourne Centre for financial Studies
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eVenTS ProGraM
2005September 28, 2005
Basel 2 Symposium (conducted jointly with the Economics Society of Australia and New Zealand and the Department of Economics, University of Melbourne),
Speakers: Professor Anthony Saunders (New York University); Dr John Laker (CEO, APRA); Dr Bob Edgar (COO, ANZ Bank); Mr Ranjit Singh (Research Director, SEC Malaysia). Attended by 45 practitioners and academics
September 29-30, 2005
10th AIBF – Melbourne Centre Banking and Finance Conference
Presenters: Practitioners and Academics, Attendance 80 Practitioners and Academics
October 3 -7, 2005 Training programs on “Basel 2, Credit Risk and Operational Risk Measurement and Management”
(conducted jointly in Melbourne and Sydney with Finsia. Presenter: Professor Anthony Saunders (New York University))
24 November 2005 Seminar Prof Stewart Myers (MIT)
28 November 2005 Finance Forum: Funds Management Research Opportunities
Syd Bone (CEO, Victorian Funds Management Corporation)
2006 January – June
February 15, 2006 Corporate Finance Workshop Five research papers by Centre Associates and Visitor presented to audience of (approx) 20 academics and 5 practitioners (Held in J P Morgan Board Room)
March 1, 2006 Operational Risk Seminar (in conjunction with FIRN)
Presented by Prof Paul Embrechts to audience of (approx) 40 practitioners and academics
March 29, 2006 Credit Risk Workshop Four research papers presented by Centre Associates and practitioners to audience of (approx) 45
April 19, 2006 Finance Forum “Energy Policy and the Development of New Financial Markets”
Presentation by Wayne Read and Peter Ebens (KPMG) to audience of (approx) 20 academics and practitioners
May 17, 2006 Finance Forum “Corporate Social Responsibility”
Presentation by Philip Cohn (Reputex) to audience of 15 academics and practitioners
May 19-20, 2006 Melbourne Money & Finance Conference (The Future of Australian Banking)
12 papers presented to audience of 60 practitioners, academics and public sector delegates
June 5, 2006 Finance Forum (Hedge Funds) Presentation by Andrew Crawford, LCA
June 13, 2006 Regulatory Review Forum (jointly with FICC)
Presentations (and discussion) on four regulatory issues including presentation by Gary Banks (Chair of Regulation Review Task Force)
June 19, 2006 Finance Forum (Commercial Property Risk and Returns)
Presentation by John Garimort, IPD Australia
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eVenTS ProGraM (ConT)
2006 July - december
July 17 Seminar “Major Investments, Firm Financing Decisions, and Long-run Performance”
Professor Mark Flannery
July 17, 2006 Symposium: Basel 2 and Bank Regulation: International and Australian Perspectives (Sponsored by ANZ)
Speakers: Prof Mark Flannery (Bank of America Eminent Scholar in Finance, University of Florida, and co-director of the FDIC Finance Research Centre)Prof Benton Gup (Robert Hunt Cochrane Banking Chair, Uni. of Alabama)Prof Harald Benink (Erasmus University, The Netherlands, and founder of the European Shadow Financial Regulatory Committee)Mr Bernie Egan (Program Director – Basel 2, APRA)Mr Morris Batty (Basel 2 Program Executive – ANZ)
July 20, 2006 Financial Literacy Workshop: Analysis of Design and Impact
Presenters: Tim Fry (RMIT), Roslyn Russell (RMIT) Sandra Mihajilo (RMIT) and Rob Brooks (Monash)
August 8, 2006 Finance Forum: “Global Alpha”,
Alison Hamilton, Portfolio Manager for Martin Currie
August 25, 2006 Seminar “Basel 2: Is the Game worth the Candle”
Professor Richard Herring, Wharton School of Business
September 25-26, 2006
Finsia – Melbourne Centre Finance and Banking Conference
Contributed academic research papers and plenary sessions.Dinner speaker: Mr David Murray, Chairman of the Future Fund
October 26 2006 (Sydney),October 302006 (Melbourne)
Symposia on “Share Buybacks”
Joint Australian Financial Review – Melbourne Centre and supported by UBS
October 27, 2006 Workshop “Cost of Capital for Regulated Industries”
Joint with ACCC (tbc) Prof Glenn Boyle (NZ) and other speakers
December 21, 2006 International Distinguished Lecture
Mr Mervyn King, Governor of the Bank of England
Feb-Mar 2007 tbc Symposium on Regulation of Islamic Financial Services
(jointly with Monash University)
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reSearCh ProGraMresearch Projects Supported by Competitive Grants financial regulation
2006
director Share Trading: disclosure and Market integrity
Robert Faff, Dept. of Accounting and Finance, Monash University
Steve Easton, School of Business, University of Newcastle
Corporate Governance and risk-Taking of uS banks
Michael Skully, J. Wickramanayake, Dept. of Accounting and Finance,
Monash University
alternative Methods of issuing equity in australia: effects of rights
issues and Private Placements on Shareholder Wealth and ownership
Structure
Chander Shekhar, University of Melbourne
Vladimir Atanasov, College of William & Mary, USA.
dividend Strip and information revelation
Qi Zeng, Dept. of Finance, University of Melbourne
2005
Corporate Governance: asian boards of directors
Richard Heaney, School of Econ, Fin. & Marketing, RMIT
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reSearCh ProGraM (ConT)
funds Management
2006
Validating the characteristics based asset pricing approach using a
statistical clustering asset pricing model
Steven Brown, New York University
Robert Faff, Dept. of Accounting and Finance, Monash University
Paul Lajbcygier, Faculty of Information Technology, Monash University
Madhu Veeraraghavan, Dept. of Accounting and Finance, Monash
University
a new approach to the evaluation of mutual fund performance: the
case study of australia and uS mutual funds
Francis In, Dept. of Accounting and Finance, Monash University
optimal fund Size, funds flows and fund Performance in the
Presence of Structural breaks
Petko S. Kalev, Dept. of Accounting and Finance, Monash University
Mark Harris, Dept. of Econometrics and Business Statistics, Monash
University
alternative risk indices for the Mutual fund industry
Mike Dempsey, Mohammad Ariff. Dept of Accounting and Finance,
Monash University
Towards a reconciliation of Portfolio Theory and empirical outcomes
in Stock Price behaviour: australian evidence
Mike Dempsey, Madhu Veeraraghavan, Dept of Accounting and Finance,
Monash University
an investigation into the Smart Money effect in australian
Superannuation funds
Madhu Veeraraghavan, Philip Gharghori, Dept of Accounting and
Finance, Monash University
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reSearCh ProGraM (ConT)
foreign entry into the australian funds management industry through
investment advisory alliances
Robert Faff, Dept. of Accounting and Finance, Monash University;
Jerry Parwada, School of Banking and Finance, University of New South
Wales
dynamic hedge funds allocation – an adaptive neuro-fuzzy inference
System (anfiS) approach
Victor Fang, Dept. of Accounting and Finance, Monash University;
Vincent Lee, Clayton School of IT, Monash University
K. F. Phoon, Dept. of Accounting and Finance, Monash University
2005
rating Transitions: how do They Vary With the business Cycle?
Guay Lim, Michael Chua and Penny Smith, Melbourne Institution of
Applied Econ. & Soc. Research, University of Melbourne
analyst incentive and Signals: The role of the institutional and
disclosure environment
Howard Chan and Rob Brown, Dep. Of Finance, University of Melbourne
Robert Faff, Dept. of Accounting & Finance, Monash University
Modelling Time-Varying asymmetric foreign exchange exposures
Robert Faff and Robert Brooks, Dept. of Accounting & Finance, Monash
University
Jonathan Dark, Dep. of Econometrics & Bus Stats, Monash University
Amalia Di Iorio and Tim Fry School of Econ, Fin and Marketing, RMIT
The Systematic risk effect of hybrid Securities Classifications
Jayne Godfrey, Farshid Navissi and Keryn Chalmers, Dept. of Accounting
& Finance, Monash University
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reSearCh ProGraM (ConT)
are actively Managed funds really that bad?
Terry Hallahan, Richard Heaney, Tom Josev and Heather Mitchell, School
of Econ, Fin. & Marketing, RMIT
Price discovery in Spot and derivative equity Markets
Petko Kalev, Dept. of Accounting & Finance, Monash University
Sugato Chakravarty, Dept. of Consumer Sciences & Management,
Purdue University
new financial Markets and instruments
2005
integrated framework for financial Ship risk
Harald Scheule, Dept. of Finance, University of Melbourne
The price formation of substitute markets: Theory and empirical
applications
Michael T Chng, Dept. of Accounting and Finance, Monash University
Aihua Xia, Dept. of Maths & Stats, University of Melbourne
electricity Pricing
Richard Heaney, Heather Mitchell, Vikash Ramiah, and Stuart Thomas,
Sch of Econ, Fin. & Marketing, RMIT
The end of non-tradable shares in China: Modeling the impact on
existing shareholders
Tony Naughton, Dept. of Econ, Fin. And Marketing, RMIT
Madhu Veeraraghavan, Dept. of Acc. & Fin., Monash University
Charles Corrado, Dept. of Commerce, Massey University
Larry Li, Dept. of Econ & Fin., School of Business, LaTrobe University
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reSearCh ProGraM (ConT)
other areas
2006
do australian firms have a lower propensity to undertake r&d?
Sinclair Davidson, RMIT University
2005
dynamic Capital Structure Choice
Xin Chang, Dep. Of Finance, University of Melbourne
Sudipto Dasgupta, Dep. Of Finance, Hong Kong University of Science and
Technology
does the diversification penalty crowd out r&d value?
Sinclair Davidson, School of Econ, Fin. & Markets, RMIT
Robert Brooks, Dept. of Econometrics & Bus. Stats, Monash University
improving Techniques for evaluating financial literacy and inclusion
Programs
Tim Fry, School of Eco, Finance & Mark, RMIT
Roslyn Russell, Research Dev. Unit Bus, RMIT
Robert Brooks, Dept. of Econometrics & Bus. Stats, Monash University
Succession financing in Small and Medium Sized enterprises in
australia
Asjeet Lamba and Andre Gygax, Dept. of Finance, University of
Melbourne
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board of ManaGeMenT
The Centre is a consortium of The University of Melbourne The University of
Melbourne, Monash University and and RMIT University in conjunction with the
Australasian Institute of Banking and FinanceFINSIA.
The Melbourne Centre is governed by a Board appointed by its contributing
members. The Board of Management has membership drawn from the founding
members, and will be expanded as appropriate by decision of the Board.
The Board is supported by an Industry Advisory Committee comprising (IAC)will
be, comprising senior members of the Melbourne finance, business and public
sectors. Members of the Committee act in an honorary capacity. The
Committee provides strategic advice to the Board and the Centre Director on a
range of issues.
Chairman
Mr John Unkles (Executive General Manager, Finsia)
Members (at 30 June 2006)
Professor Paul Kofman (The University of Melbourne)
Professor Kim Langfield-Smith (Monash University)
Professor Tony Naughton (RMIT University)
Mr Michael Kay (AAMI)
other Members of the board during 2005-6
Professor Robert Brown (The University of Melbourne)
Professor Jayne Godfrey (Monash University)
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induSTry adViSory CoMMiTTee
Steve Bartholomeusz (The Age)
Syd Bone (CEO, VFMC)
Jeremy Cooper (Deputy Chairman, ASIC)
Andrew Dexter (Managing Director, JPMorgan)
Jeremy Duffield (Managing Director, Vanguard Investments)
Vince Fitzgerald (Chairman, Allen Consulting)
Elmer Funke Kupper (Group Managing Director, Tabcorp)
Les Hosking (Managing Director, NEMMCO)
Michael Kay (Chief Operating Officer, AAMI)
Stephen King (Commissioner, ACCC)
David Knox (Principal, Mercer)
Geoff MacFarlane (Principal, Alitum Partnership)
Rod Maddock (Executive General Manager, Strategy, CBA)
Bob Officer (Chairman, VFMC)
Ruth Picker (Partner, Ernst & Young)
Graham Reeve (CEO, Myer Family Office)
Bob Stribling (Chief Risk Officer, Australia, NAB)
Ian Thompson, (Head of Research & Training Asia-Pacific Ratings
Services, S&P)
Fran Thorn (Secretary, Department of Innovation Industry and Regional
Development)
John Wilson (Managing Director, Tollhurst Noall)
Peter Yates (Managing Director, Allco Equity Partners)
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CenTre STaffinG
Director Professor Kevin Davis 0� 9��� 09�0
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Business Development
Manager
Mr David Michell 0� 9��� 090�
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Research Fellow Mr John Fowler 0� 9��� 09��[email protected]
Senior Consultant:
Funds Management
Mr Graham Cocks 0� 9��9 9��9
Research Assistant Mr Patrick Zhang 0� 9��� 09��[email protected]
Fax: +�� � 9��� 0900
Web site: http://www.melbournecentre.com.au
Email: [email protected]
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MELBOURNE CENTRE FOR FINANCIAL STUDIES
MAn
nual
Rev
iew
200
5-20
06