Australian Journal of Management

In this paper we investigate the profitability of the 52-week high momentum strategy in the Australian equity market over the period 1996—2008. We provide the first examination of the economic significance of the strategy by applying short-sale restrictions and utilizing bid-and-ask prices and trading volume to proxy for transaction costs and liquidity constraints, respectively. Testing reveals that the strategy yields significantly positive raw returns when concentrated purely on the more liquid stocks in the market, with significantly negative returns evident among illiquid stocks. This suggests that the anchor-and-adjust bias on which the strategy is based only exists among stocks with sufficient liquidity. Furthermore, the 52-week high strategy comprising liquid stocks fails to produce significant dollar profits once short-sale restrictions, transaction costs and liquidity constraints are accounted for. We therefore conclude that the 52-week high momentum trading strategy is not of practical use to investors in Australia.

This study seeks to explain why talent tends to gravitate to industrial clusters (ICs) and how the human resources (HR) environment affects regional attraction and retention of talent. Regional attraction is defined as a region’s ability to attract and retain workers and immigrants. Data were collected from four ICs in China. A region’s HR environment was measured at five levels. A one-way analysis of variance (ANOVA), hierarchical regression, and the structural equation modeling (SEM) were conducted to analyse the data. The results of the one-way ANOVA showed that there were statistically significant differences in the regional attraction of the four ICs in this study. The results of the hierarchical regression and SEM suggest that elements in the macro-HR environment directly affect talent growth and regional attraction, and talent growth partly mediates the relation between three levels of the HR environment (economic environment, HR policy environment, and the enterprise’s HR management) and regional attraction. The results infer that the HR environment in an IC is the ultimate cause of talent concentrating to a given IC. This paper helps us understand why talent clusters to ICs and offers theoretical support for how governments can make policies and programs to attract talent. This study illustrates how the HR environment affects talent growth. It also examines the immediate role of talent growth in the relationship between HR environment and regional attraction. These findings enhance the literature on HR environments, regional attraction, and the concentration of talent.

This paper examines whether foreign direct investment between countries fosters stock market integration. Empirical tests demonstrate that both the flow and the level of bilateral foreign direct investment between countries explain country-pair stock market integration. More specifically, higher bilateral foreign direct investment levels and flows increase Australia’s stock market integration with its major trade partners.

This paper studies the empirical relation between corporate social responsibility (CSR) and corporate financial performance in Korea using a sample of 1222 firm-years during 2002—2008. We measure corporate social responsibility by both an equal-weighted CSR index and a stakeholder-weighted CSR index suggested by Akpinar et al. (2008). Corporate financial performance is measured by return on equity, return on assets, and Tobin’s Q. We find a positive and significant relationship between corporate financial performance and the stakeholder-weighted CSR index, but not the equal-weighted CSR index. This finding is robust to alternative model specifications and several additional tests, providing evidence in support of instrumental stakeholder theory.

This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (—0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows.