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Papers by Michael Theobald

Http Dx Doi Org 10 3905 Jpm 1982 408894, Feb 22, 2009

Http Dx Doi Org 10 3905 Jod 2001 319162, Feb 22, 2009

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The selection of investments held in dedicated pension or insurance asset portfolios should be li... more The selection of investments held in dedicated pension or insurance asset portfolios should be liability-driven. Techniques have been developed to hedge or immunize single liabilities from the effects of a variety of yield curve changes. In this paper, we extend these results to a more relevant practical problem, to immunize multiple liabilities occurring at different times in the future. This immunization approach can accommodate a variety of non-parallel yield curve behaviours. In a practical application, we demonstrate that our approach is effective in selecting index tracking portfolios in the UK Gilt (government bond) market.

The paper examines various ways by which the availability of equity finance to firms in developin... more The paper examines various ways by which the availability of equity finance to firms in developing countries can be improved. The literature on the subject emphasises the difficulty many firms face in obtaining borrowed funds, the need for security and the financial gearing constraint, which means the rate of growth of the firm is limited. The choice, however, is not

argues that increased spreads represents a significant cost to issuing firms shareholders, making... more argues that increased spreads represents a significant cost to issuing firms shareholders, making rights offerings costlier than firm commitment offerings and finds evidence consistent with this argument in US. However, Balachandran et al show that high quality firms choose fully underwritten rights issues, intermediate quality firms choose non-underwritten issues and lower quality firms choose partially underwritten rights in Australia. Thus, this study examines the impact of rights offerings on bid-ask spreads between underwritten and non-underwritten rights offerings in Australia to shed some light on the impact of equity issuance on liquidity.

Handbook of Quantitative Finance and Risk Management, 2010

A number of testable implications are generated for corporate financing in Indonesia. In particul... more A number of testable implications are generated for corporate financing in Indonesia. In particular, the impacts of the 1983 financial reforms and the tax system are analysed. Empirical evidence and tests indicate a bias away from equity finance and trends in various financial series.

SSRN Electronic Journal, 2000

1 We gratefully acknowledge the helpful comments and suggestions of Robert Fa¤ and Tom Smith.

Encyclopedia of Finance, 2012

The Journal of Portfolio Management, 1982

Review of Quantitative Finance and Accounting, 2011

This paper compares traditional portfolio insurance strategies with modern risk-based dynamic ass... more This paper compares traditional portfolio insurance strategies with modern risk-based dynamic asset allocation strategies within a currency portfolio context for reserve management. Given the objective of preserving reserve value, the evaluation of the hedging performances of various strategies focuses on four perspectives regarding, in particular, the return distribution of the hedged portfolio. In terms of the Sharpe Ratio, the constant

Research in International Business and Finance, 2008

... In some countries, volatility decreases with liberalization. Huang and Yang (2000) investigat... more ... In some countries, volatility decreases with liberalization. Huang and Yang (2000) investigate the impact of financial liberalization on stock market volatility in 10 emerging markets, including 5 East Asian markets, and again provide mixed evidence regarding volatility changes. ...

Journal of Financial Economics, 2008

Rights offerings in Australia provide valuable choices to the issuer in terms of both underwritin... more Rights offerings in Australia provide valuable choices to the issuer in terms of both underwriting and renounceability. We formulate a set of hypotheses from a quality-signaling perspective, affording an analysis of the key interrelations between quality, underwriting status, renounceability, takeup, and subscription price discount. We analyse rights offerings from two perspectives: market reaction to rights announcements and identification of the

Journal of Financial and Quantitative Analysis, 2012

We examine the role of shareholder takeup in rights offerings on the subscription period price re... more We examine the role of shareholder takeup in rights offerings on the subscription period price reaction and liquidity. Our results indicate that takeup information is reflected in price adjustments over the subscription period and that quality-related information disclosed on the rights announcement date further impacts upon prices in this period. Higher shareholder takeup improves liquidity. We do find some evidence of inefficiencies in the adjustment process over the subscription period which, in part, is consistent with a model where markets are characterized by overconfident investors and which also articulates with takeup information arriving in the market. JEL classification code: G14, G32 3 powerful tests of takeup-related hypotheses and to obtain invaluable insights into the Heinkel and Schwartz (1986) prediction. argues that rights offerings impose a significant indirect cost on issuers by reducing the liquidity of the issuer's stock. She shows that rights offerings (public underwritten offerings) are followed by a significant increase (decrease) in proportionate bid-ask spreads, and these changes in spreads, which reflect a decrease (increase) in liquidity, are correlated with changes in the ownership structure of the issuing firms. However, Kothare (1997) does not examine the rights issue success/failure (that is, extent of shareholders takeup) and its impact upon liquidity.

Journal of Corporate Finance, 2012

Australian companies pay dividends semi-annually with smaller "interim" payments and larger "fina... more Australian companies pay dividends semi-annually with smaller "interim" payments and larger "final" payments. Interim dividends are declared and paid within a less full information environment than final dividends. We analyze the interactions between the timing of dividends and their information content, controlling for share repurchase and tax effects. Dividend reductions that are not associated with share repurchases are statistically significantly related to future abnormal earnings and provide strong support for the information content of dividend reductions. The percentage of dividend reduction is stronger for interim than for final dividend reductions. The market reaction is negatively related to the reduction in imputation tax credit and reacts more aggressively and negatively to interim as compared to final dividend reductions.

Journal of Business Finance & Accounting, 1991