Papers by Richard A Heaney
Handbook of Financial Econometrics and Statistics, 2014
Australian electricity spot prices differ considerably from equity spot prices in that they conta... more Australian electricity spot prices differ considerably from equity spot prices in that they contain an extremely rapid mean-reversion process. The electricity spot price could increase to a market cap price of AU$12,500 per megawatt hour (MWh) and revert back to a mean level (AUD$30) within a half-hour interval. This has implications for derivative pricing and risk management. For example, while the Black and Scholes option pricing model works reasonably well for equity market-based securities, it performs poorly for commodities like electricity. Understanding the dynamics of electricity spot prices and demand is also
Applied Economics, 2011
This paper documents seasonal patterns and other characteristics of electricity spot prices in th... more This paper documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a seven-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature on electricity prices. The results confirm that electricity prices exhibit significant time-of-day and day-of-week effects and that monthly and yearly effects are significant to a lesser degree. Extremely high spikes in the price series are an important characteristic of electricity prices and are shown to be a highly significant component of returns behaviour. Negative prices are unusual in financial time series data but occur in Australian electricity prices and are found to be influential on returns. The implications of these finding are that seasonal and outlier effects should not be ignored in efforts to model electricity prices.
Handbook of Financial Econometrics and Statistics, 2014
Australian Journal of Management, 2007
... Email: [email protected] ... timing benefits can be considerable (Sharpe 1975; Chua,... more ... Email: [email protected] ... timing benefits can be considerable (Sharpe 1975; Chua,Woodward & To 1987; Shilling 1992; Sy 1990) the theoretical benefits ... approximated using an equally weighted average of the 3-month interest rates obtained from the OECD for the ...
Applied Economics, 2011
This paper documents seasonal patterns and other characteristics of electricity spot prices in th... more This paper documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a seven-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature on electricity prices. The results confirm that electricity prices exhibit significant time-of-day and day-of-week effects and that monthly and yearly effects are significant to a lesser degree. Extremely high spikes in the price series are an important characteristic of electricity prices and are shown to be a highly significant component of returns behaviour. Negative prices are unusual in financial time series data but occur in Australian electricity prices and are found to be influential on returns. The implications of these finding are that seasonal and outlier effects should not be ignored in efforts to model electricity prices.
efmaefm.org
... Higher-Moment Model with Errors-in-Variables: An Examination with Cross Section of Expected R... more ... Higher-Moment Model with Errors-in-Variables: An Examination with Cross Section of Expected Returns Minh Phuong Doan, Heather Mitchell, Richard Heaney School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia First version: January 2010 ...
Pacific Rim Property Research Journal, 2012
ABSTRACT
Cross-sectional analysis of the remuneration paid by a sample of 1,144 listed Australian companie... more Cross-sectional analysis of the remuneration paid by a sample of 1,144 listed Australian companies in 2006 to their CEOs highlights the variation in the level and composition of remuneration both within and across industries. Average annual CEO remuneration for 2006 is $730,000 with 79% short-term, 14% long-term and 7% post-employment remuneration. These components of remuneration structure, company size and corporate governance measures provide insight into the variation in CEO remuneration. There is no evidence of a positive relation between current year CEO remuneration and following year performance.
We examine the stock markets of 41 countries over a 10 year period from January 1996 to December ... more We examine the stock markets of 41 countries over a 10 year period from January 1996 to December 2005 using the classical stock synchronicity measure developed by Morck et al. (2000). We find that stock markets in emerging economies are more synchronous than in developed financial market. In separate panel data analysis we also find that countries with higher stock
The purpose of this paper is to analyse the use of derivative financial contracts in a sample of ... more The purpose of this paper is to analyse the use of derivative financial contracts in a sample of Japanese firms. Approximately 60% of responding firms use derivatives.
In this paper we consider the question of whether officers and directors in the firm are the last... more In this paper we consider the question of whether officers and directors in the firm are the last to go when corporate performance is poor. We look at this question with reference to 5137 firms drawn from three countries over the period 2001 to 2002. Cross-sectional analysis shows significant variation between China, the UK and the USA with respect to
ASEAN5 equity markets have experienced the 'Asian Miracle', survived the 1997 crisis, a... more ASEAN5 equity markets have experienced the 'Asian Miracle', survived the 1997 crisis, and are now re-building their strength in the region. This paper examines the short-run and long- run linkages that exist between the ASEAN5 equity markets over the period from 1990 to 2006. Analysis of correlation coefficients between the ASEAN5 equity markets suggests an increase in correlation following the 1997 crisis. Further, cointegration is evident over both the full period and in the pre and post 1997 crisis periods. Finally, the influence of the US, Japan and Australia equity markets is also examined with evidence of a strong exogenous US equity market effect over the 16-year period of the study.
Australian Journal of Management, 2012
The shares of BP plc and its subcontractors were rocked when the financial markets discovered the... more The shares of BP plc and its subcontractors were rocked when the financial markets discovered the true impact of the Deepwater Horizon explosion as reported in the Wall Street Journal on 22 April 2010. While we track the impact of the disaster on share prices of the key participants, perhaps the most damaging response to the disaster was the introduction
Accounting & Finance, Jan 1, 1997
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International Journal of Forecasting, 2002
... Management Association Conference and, especially, the detailed comments received from the In... more ... Management Association Conference and, especially, the detailed comments received from the International Journal of Forecasting are much ... Testing for the long run relationship between nominal interest rates and inflation using cointegration techniques. ... Full Text via CrossRef. ...
... Management Association Conference and, especially, the detailed comments received from the In... more ... Management Association Conference and, especially, the detailed comments received from the International Journal of Forecasting are much ... Testing for the long run relationship between nominal interest rates and inflation using cointegration techniques. ... Full Text via CrossRef. ...
The Manchester School, 2010
1989; Heston, 1993; and Ball and Roma, 1994), the term structure of interest rates (Jamshidian, 1... more 1989; Heston, 1993; and Ball and Roma, 1994), the term structure of interest rates (Jamshidian, 1989; Hull and White, 1990; Feldman, 1993; and Chen and Scott, 1993), the use of alternative price processes (Ball and Torous, 1983) and futures-style margining (Asay, ...
The Quarterly Review of Economics and Finance, 2007
This paper examines the interaction between the largest shareholder and dividend policy in a samp... more This paper examines the interaction between the largest shareholder and dividend policy in a sample of 8,279 listed firms drawn from 37 countries. We find that firms are more likely to pay dividends when profitability is high, debt is low, investment opportunities are limited or ...
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Papers by Richard A Heaney