Academic Research and Awards
Members of the Auckland Centre for Financial Research have published articles in a number of well respected national and international journals. We list all our publications on this website.
Our members have expertise in a range of finance fields. Some recent work includes the following:
Bank Capital in the Crisis: It's not just how much you have but who provides it (Garel, A. and Petit-Romec, A., 2017)
The authors look at the owners of bank capital during the 2008 financial crisis and how this ownership affected the stocks performance. They found banks with short-term investors performed poorly compared to banks with long-term investors. This consideration is useful to banks and regulators when considering minimum capital requirements.
The Impact of Cultural Diversity in Corporate Boards on Firm Performance (Frijns, B., Dodd, O. and Cimerova, H., 2016)
This paper explores the effect of cultural diversity in U.K. publicly listed company boards. The result is controversial - cultural diversity actually hinders company performance (measured by Tobin's Q and ROA). However, not all firms are affected equally - when the complexity of a firm is high and/or the firm has a large part of sales and operations in foreign markets, negative effects on firm performance are mitigated.
Skewness: A New Signal for Long-short Commodity Investing (Fernandez-Perez et al., 2015)
This paper presents a trading strategy in commodity futures markets by exploiting investor preferences of skewness. They build on existing literature on equity markets in which investors have a preference for positive skew assets and shy away from negative skew assets. Positive skew assets become overpriced and negative skew assets become underpriced. The trading strategy consists of going long 20% most negative skew commodities and short 20% most positive skew commodities. The strategy yields 8.01% annual return with a Sharpe ratio of 0.78.
Our members have also been awarded best paper at a number of conferences/events:
- New Zealand Finance Colloquium
- Accounting and Finance Association of Australia and New Zealand Conference
- Financial Management Association Asia
- International Corporate Conference on Corporate Governance
- New Zealand Econometric Study Group Meeting