Michael Gangemi

Modeling Australia’s country risk: a country beta approach

Abstract The debate on the consequences and appropriate policy response to Australia’s growing foreign debt has spawned a large literature. Part of this literature hypothesizes an adverse effect due to increased country risk. This paper analyzes Australia’s country risk using a country beta market model in the spirit of Harvey and Zhou (1993) and Erb et al 1996a , Erb et al 1996b . Specifically, we analyze the impact of macroeconomic variables, with a special focus on open economy variables, using a regression-based approach. We find that exchange rates are the only macroeconomic factor that has impacted significantly on Australia’s country beta.

A further examination of the effect of diversification on the stability of portfolio betas

Although many studies have found a non-trivial incidence of beta instability for individual common stocks, there exists controversy over the beta stability characteristics to expect in portfolios formed from these stocks. The extent is examined to which portfolio formation can diversify away beta instability. Specifically, although a constant beta for the market portfolio is acknowledged as the trivial limiting case, particular attention is devoted to shedding light on the speed with which diversification can deliver a reasonable expectation of stable portfolio betas. The issue is examined by forming portfolios which mix together constant beta stocks and varying beta stocks. The evidence is generally consistent with the presence of a diversification effect, but as the portfolio size increases, results do show a greater proportion of constant beta stocks are needed to maintain the relative stability of the portfolio.

Mean reversion and the forecasting of country betas: a note

Abstract In 1971 and 1975, M. E. Blume found individual equity betas to have a “regression” tendency toward the grand mean of unity. His original results have been widely accepted to the extent that a literature has developed on the application of Bayesian techniques to beta estimation so as to adjust for mean reversion. The more recent literature has focused on risk estimation and the applicability of asset pricing models in the international finance setting, where the focus has been on the aggregate country level risk. Given the increasing popularity of country beta models, an interesting but, as yet, unexplored issue is whether aggregate country betas display mean reversion tendencies similar to that found for individual company betas. The examination of this issue is the central aim of the current paper. In short, this analysis reveals strong evidence of mean reversion of country betas, similar to that documented in the single country setting in the existing literature.

At Risk Policy and Early Intervention Programmes for Underperforming Students: Ensuring Success?.

Purpose – The purpose of this paper is to examine a Universitys at risk program and ask is the intervention strategy working? The program seeks to assist at risk students who may be experiencing difficulties transitioning, for example from school into university. The program also seeks to identify problems and suggest remediation strategies before attrition.Design/methodology/approach – The effectiveness of the at risk programs is investigated across a population of at risk students from 2006 to 2010. Effectiveness is judged on the basis of outcomes in subsequent semesters where the Universitys preferred outcome is these students are not identified as at risk again.Findings – The authors have found that the program has some success in assisting students to improve their academic performance; though simply engaging in the process is not enough to ensure improvement. Other variables are at work. At risk students located in Melbourne appear to be far more likely to be at risk again than those in Singapore....

The effects of announcement of green policies on equity portfolios: Evidence from the United Kingdom

Purpose - – This paper aims to investigate the impact of 75 announcements of environmental policies on British equities over the period 2003 to 2012. In particular, the research has the following specific objectives: finding out whether there is wealth creation/destruction for investors as a result of the announcements of green policies and identifying changes in risk structure following the introduction of green policies. Design/methodology/approach - – Using event study methodology and non-parametric tests, the authors attempt to find out whether announcements of environmental/sustainability policies are value constructive or destructive for equity investors. The CAPM is fitted with interaction variables to measure the change in systematic risk following announcements. Findings - – The results show that the UK market is particularly sensitive to domestic, international and nuclear announcements. Cumulative abnormal returns in the range of 30-40 per cent were recorded in certain sectors. Consistent with the emerging literature, the authors observe that environmental policies induce changes in the systematic risk of businesses, both in the short run and the long run. Originality/value - – To the best of authors’ knowledge, the literature does not provide any answer as to how the risk and return of British equity portfolios change following the announcement of green policies in the aftermath of the Kyoto Protocol on climate change. Furthermore, the literature does not differentiate among various categories of announcements (domestic, international and nuclear). Therefore, this paper bridges the gap in the literature on these two grounds.

Towards a Typology of At-Risk Students: A Case Study in Singapore.

The purpose of this study is to examine at-risk students and the reasons they give to explain their poor academic performance, with a view to developing a typology of at-risk students. A case study methodology was used to investigate the total population of at-risk students for Semester 2, 2008 studying at the Singapore campus of an Australian-based university. Poor academic performance means that students are placed ‘at-risk’ of exclusion from the University if their grades do not significantly improve in subsequent semesters. The majority of students cite employment pressures (primarily work commitments interfering with study) and personal relationship difficulties (including divorce and family commitments) as the main causes of their at-risk status. Our findings may help universities implementing at-risk programmes reduce student attrition and better aid students in completing their degrees.

¡Fútbol!: Is There a Latin American Bias in the European Champions League?

This article takes a novel approach to the study of discrimination in sports by looking at minutes played by strikers in the Union of European Football Associations Champions League over 1991-2011. We compare differences in minutes played between five ethnic groups: White Europeans, Black Europeans, Africans, White Latin Americans, and Black Latin Americans. We find evidence that White Latin Americans enjoy significantly less game time than White Europeans, while the opposite is true for Black Latin Americans. However, the inclusion of player fixed effects reveals that, after controlling for player ability, there is no evidence of discrimination in this competition.This article takes a novel approach to the study of discrimination in sports by looking at minutes played by strikers in the Union of European Football Associations Champions League over 1991-2011. We compare differences in minutes played between five ethnic groups: White Europeans, Black Europeans, Africans, White Latin Americans, and Black Latin Americans. We find evidence that White Latin Americans enjoy significantly less game time than White Europeans, while the opposite is true for Black Latin Americans. However, the inclusion of player fixed effects reveals that, after controlling for player ability, there is no evidence of discrimination in this competition.

Environmental Policies Post the Kyoto Protocol on Climate Change: Evidence from the US and Japan

Abstract Following introduction of the Kyoto Protocol on climate change in 2005, countries around the world have been changing their environmental policies in order to reduce carbon emissions. After implementation of these policies in Europe, Asia, the US, and Australia, a number of studies are emerging from these regions, yet little is known about the environmental policies of the US and Japan. In this chapter, we look at the main environmental agencies of each of these countries, namely the Environment Protection Agency (EPA) in the US and the Ministry of the Environment (MoE) in Japan. We examine and analyze the major enacted laws of the EPA and MoE that have been designed to achieve environmental protection, restoration, and preservation, and to protect human health and the health of flora and fauna. And we also discuss various initiatives implemented by the two agencies to protect local and global environments, such as those aimed at reductions in greenhouse gas emissions, global warming, and climate change, protection of air and water quality, removal of toxins from the environment, more efficient use of resources, and recycling, among others.