Alastair Marsden

University of Auckland · Department of Accounting and Finance

We examine the factors that explain the underwriting decision and underwriting fees for Australian initial public offerings (IPOs). Using a sample of Australian IPOs, spanning the period 1999–2019, we document the following results. IPOs that allow oversubscription of the shares, bookbuild offers, and IPOs with a greater delay to listing, are less...

This paper examines the effect of taxes on the international diversification benefits available to New Zealand investors who invest in equities held through a portfolio investment entity (PIE). Historical monthly index data for 34 markets denominated in New Zealand dollars from 1993 to 2018 is used with an in-sample mean-variance optimization appro...

This study examines the decision to underwrite dividend reinvestment plans (DRPs) by Australian listed firms over the sample period 1995–2013. We find that the decision to underwrite a DRP for non-financial firms is negatively related to the level of franking credits attached to dividends, but positively related to the leverage of the firm and the...

This paper examines initial returns to venture capital (VC) backed and non-VC-backed IPO companies on the Australian Securities Exchange (ASX). We find support for the theoretical predictions of Rossetto (2008), by providing empirical evidence that VC-backed CTE IPOs exhibit greater wealth losses to pre-IPO investors compared to non-VC-backed CTE I...

An innovative feature of the Australian tax code is the provision of "imputation tax credits" that reduce the effective tax paid by Australian investors on dividends received from Australian firms. The feature is generally regarded as providing a tax incentive for corporations or firms subject to Australian corporate tax to distribute available cas...

This study examines the determinants of a firm's decision to utilize a dividend reinvestment plan ("DRP") and shareholder participation rates under the Australian dividend imputation regime over the period 1995-2009. A DRP enables managers to increase the dividend payout and distribute greater franking credits to Australian tax-resident shareholder...

Purpose – This paper aims to explore the challenges the Venture Capital (VC) funds industry in New Zealand (NZ) faces when sourcing new capital. In NZ, there is a significant gap currently for companies seeking VC funding of between $2 and $10 million to commercialise new products and ideas. Also, the estimated financing needs of the next generatio...

This paper examines the impact of China’s 2007 Administrative Measures on Information Disclosure by Listed Companies (“AMID”) on the information environment for Chinese listed companies. AMID requires continuous disclosure of price sensitive information and prohibits the selective disclosure of private information. We find evidence that the number...

Using the Markov regime-switching model, this paper examines factor loadings on macroeconomic, market sentiment and other variables that may explain North American investment-grade and high-yield credit default swap indices (CDX) over the period 2003-2011. In both crisis and tranquil market states, spreads are positively related to the market-wide...

This paper examines the impact of China’s 2007 reforms on information disclosure regulations and accounting standards in the Chinese A-share market. The reforms were expected to improve the information environment in the Chinese stock market by requiring continuous disclosure, prohibiting 'selective disclosure' of private information, and convergin...

The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the implied volatility of stocks derived from traded call and pu...

Purpose The purpose of this paper is to investigate the impact of the introduction of New Zealand's statutory‐backed continuous disclosure regime enacted in December 2002 on the differential disclosure behaviour of New Zealand firms with good and bad earnings news. Design/methodology/approach This paper examines the level of information disclosure...

Purpose – The purpose of this paper is to examine the impact of the introduction of anonymous trading on the liquidity of New Zealand Stock Exchange (NZX)‐listed stocks. Design/methodology/approach – The paper examines the impact of the switch to anonymous trading on effective spreads and adverse selection costs using both univariate and multivari...

This study investigates the time-series dynamics governing the credit default swap indices (CDX), and volatility spillover between the stock and CDX markets. We use daily returns data on an equally weighted NYSE-AMEX-NASDAQ daily stock index, the CDX investment-grade index (CDXIG) and the CDX high-yield index (CDXHG) over the period between January...

Recent changes to the Australian Securities Exchange (ASX) listing rules allow unprofitable entities, termed Commitments Test Entities (CTEs), to become quoted on the ASX based on commitments to spend the funds raised under an Initial Public Offerings (IPO). Using a comprehensive sample of 351 companies we examine subsequent IPO returns of these CT...

This study examines ‘no news’ responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre-query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a ‘no news’ response by a company in receipt of a price quer...

This study investigates the impact of changes to the New Zealand Exchange's listing rules and legislative amendments to the Securities Markets Act 1988 enacted in December 2002. The reforms provided statutory backing for a more stringent disclosure regime. We find evidence that non-dual listed firms, not subject to any prior enhanced disclosure reg...

Recent changes to the Australian Securities Exchange (ASX) listing rules allow unprofitable entities, termed Commitments Test Entities (CTEs), to become quoted on the ASX based on commitments to spend the funds raised under an Initial Public Offerings (IPO). Using a comprehensive sample of 350 companies we examine subsequent IPO returns of these CT...

This article examines the impact of the approved issuer levy (AIL) on the New Zealand dollar domestic interest rates. Under the AIL regime, New Zealand tax-resident borrowers can apply to Inland Revenue to be an approved issuer. Approved issuers are able to pay interest to lenders, who are not tax-resident in New Zealand, free of any non-resident w...

In this paper we investigate the relationship between growth in future Gross Domestic Product (GDP) and Industrial Production (IDP) and the performance of SMB (small stocks minus big stocks) and HML (High book-to-market stocks minus low book-to-market stocks) portfolios for equities listed in Hong Kong, South Korea and Taiwan. We find evidence to s...

Purpose The purpose of this paper is to examine the proposition that unexplained price and volume movements detected by the New Zealand Exchange's (“NZX”) surveillance staff reflect speculative trading. Design/methodology/approach The paper examines a sample of 98 price queries issued by the NZX between 1996 and 2004 where the company responded wi...

Standard asset pricing models ignore idiosyncratic risk. In this study, we examine if idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence of a negative relationship between firm size and a stock's idiosyncratic volatility. We also find th...

We use a high frequency data set to examine information flows between the direct AUD/NZD market and the indirect AUD/USD and NZD/USD markets for the Australian dollar/New Zealand dollar cross-rate. Our results show that information flows are dominated by the contemporaneous information flow during the most active part of the trading day and by the...

This paper investigates analysts' earnings forecasts for equities listed on the Australian Stock Exchange. Recent research shows that heuristics may influence analysts' decision making (see, Amir and Ganzach 1998), however, most of the evidence is limited to US and European markets. We provide further international evidence by examining the power o...

This study examines securities price reaction to announcements of rights issues by listed Indian firms during the period 1997–2005. We document a positive but statistically insignificant price reaction to such announcements. The price reaction is significantly more negative for firms with a family group affiliation compared to firms with no family...

This study examines securities price reaction to announcements of rights issues by listed Indian firms during the period 1997-2005. We document a positive but statistically insignificant price reaction to such announcements. The price reaction is significantly more negative for firms with a family group affiliation compared to firms with no family...

Standard asset pricing models ignore the costs of liquidity. In this study we advance the ongoing debate on empirical asset pricing and test if liquidity costs (as proxied by turnover rate, turnover ratio and bid-ask spread) affect stock returns for Australian stocks. Our tests use the factor portfolio mimicking approach of Fama and Frenc...

This paper examines if board composition has any systematic bearing on derivatives usage by New Zealand listed companies. We also test if derivative usage changed following the introduction of the new 1993 Companies Act. The Act raised expectations of directors' fiduciary responsibilities and the perceived risk of liability on outside directors for...

This paper documents historical returns to equities and long-term government bonds, bond yields and inflation rates in New Zealand over the period 1931–2002. Personal tax rates on various types of investment income are also estimated. This data is used to estimate the market risk premiums in two forms of the capital asset pricing model (CAPM). In p...

This paper estimates the standard and tax-adjusted market risk premiums in New Zealand using historical data between 1931-2002 and a variant of the Siegel (1992) methodology. Similar to Siegel we present evidence that real bond yields in New Zealand were low over the period 1931-2002 and this may bias upwards an Ibbotson-type estimate of the market...

One measure of the health of the Social Security system is the difference between the market value of the trust fund and the present value of benefits accrued to date. How should present values be computed for this calculation in light of future uncertainties? We think it is important to use market value. Since claims on accrued benefits are not cu...

This study examines security price reaction to the announcement of rights issues by New Zealand firms between 1976 and 1994. Over this period, price reaction to rights issue announcements in New Zealand was significantly negative. The price reaction to the announcement was more negative for underwritten compared to non-underwritten rights issues. T...

New Zealand electric power boards were licensed by the Electric Power Board Act 1925 to supply electricity in defined geographical franchise areas. These entities were exempt from income tax until 1987 when their earnings were subject to the statutory corporate tax rate of 48 percent. This paper investigates the extent to which New Zealand electric...

This study examines the stock market reaction to the announcement of a new foreign investor dividend tax credit system in New Zealand. The new tax system provides foreign investors, who own less than a 10% stake in a New Zealand company, with supplementary dividends. These additional dividend payments substantially offset any liability for New Zeal...