Research

We strive to achieve excellence in empirical finance and applied financial econometric research, and aim to bridge the gap between academia and finance industry.

We aim to achieve these goals by nurturing and developing world-class researchers, establishing relationships with leading academics and centres/institutes in the field, developing research capacity of postgraduate and PhD students. The ACFR produces its own Journal. Our exceptionally well received annual conferences and events as well as our very high standard of research has resulted in the ACFR raising the profile of AUT internationally.

Featured publications

Problem debt, buy now pay later & young adults in Aotearoa New Zealand

^{Article Posted on: 06 Sep 2023}

We surveyed 705 Kiwis between 18 and 34 years of age about debt use, attitudes, demographics, and behavioural traits.

LGBT policies impact investor behaviour

^{Article Posted on: 18 Mar 2022}

This overview is based on the academic paper entitled “LGBT policy, investor trading behavior, and return comovement”, authored by Nhut H. Nguyen, Hung X. Do, Lily Nguyen, Quan M.P. Nguyen

Mood, music and money: what our Spotify playlists reveal about the emotional nature of financial markets

^{Article Posted on: 02 Sep 2021}

Our paper finds a new measure of the mood of a nation in a particular point in time which is continuous, and more importantly, language free.

A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

^{Article Posted on: 12 Jul 2021}

Currency tails can explain and predict the evolution of the currency risk premium.

The predictive power of currency tails

^{Article Posted on: 17 Jun 2021}

Currency tails can explain and predict the evolution of the currency risk premium.

Natural gas storage forecasts: Is the crowd wiser?

^{Article Posted on: 03 Nov 2020}

How do crowdsourced forecasts compare to professional predictions? Have a look at our featured research into natural gas storage forecasts.

Using Trailing Stop-Loss Rules to Reduce Risk

^{Article Posted on: 25 Sep 2020}

This research explains how applying trailing stop-loss rules can limit downside risk in financial market trading.

Music sentiment and stock returns

^{Article Posted on: 20 Aug 2020}

Can music choice reflect attitudes and moods of stock investors? Have a look at our latest research into the relationship between music and investor sentiment.

Trading and Regulation

^{Article Posted on: 30 Oct 2019}

Does financial regulation impact trading behaviour in the stock market? We seek to measure the impact of the Sarbanes-Oxley Act on informed options trading to find that yes, financial regulation has successfully proven to both mitigate shareholder risk and minimise informed options trading.

Firm Expectations

^{Article Posted on: 18 Oct 2019}

We investigated whether academics add value to firms? The answer is yes!

Independent directors add value to a firm through their collected diverse experiences and knowledge; together advancing a firm’s performance. Academic expertise is a relevant category that contributes to the character of a director.

Short Selling

^{Article Posted on: 25 Sep 2019}

Short selling is the financial marketplace practice of betting that a share’s price will decline. It sends signals to the market that the firm’s performance has weakened. Due to the impact to financial markets, recent literature observed that short sellers can play a role monitoring managerial behaviours and firms' decision making.

The Politics of Liquidity

^{Article Posted on: 11 Sep 2019}

The President’s Party and its Power – Research has found that when a Democrat president is in power, there is rapid economic growth, lower unemployment rate, and business profits are more significant compared to when a Republican president is in control. We investigate the link between politics and activity in the U.S. stock market to find that markets become more liquid under a Democratic presidency.

Uncertainty of trade relationships

^{Article Posted on: 27 Aug 2019}

New Zealand’s top two trading partners, US and China, are not acting like partners at all. How does the uncertainty of the trade relationship between the US and China impact a smaller economy like New Zealand?

Do Academics Add Value to Firms?

^{Article Posted on: 20 Aug 2019}

NYSE affects on Global markets

^{Article Posted on: 30 May 2019}

On March 31, 2019, the NYSE had 507 non-US companies from 46 countries listed on it. Trading in the US and the home market is beneficial because of competition for order flow, more investors, and more price information. For investors, cross-listed stocks are a good way to invest in foreign stocks and present cross-market arbitrage opportunities. However, there are downsides as well.

Informational Impact of Announcements

^{Article Posted on: 17 May 2019}

When important information is released into financial markets, prices respond to reflect the information from the announcement. This reaction keeps markets efficient and ensures that prices are correct. However, some investors are more informed than others, and at times of announcements, these more informed traders can exploit their informational advantage to make financial gain.

Are there bubbles in wine?

^{Article Posted on: 10 May 2019}

Collectibles, as an asset class have received considerable attention in recent years. On average, high net-worth individuals hold nearly 6% of their assets in collectibles. Being a significant asset class, many studies have looked at the financial aspects of collectibles and assessed the benefits of adding collectibles to a portfolio of financial assets.

Publications

Our members have published articles in a number of well respected national and international journals.

Research outputs