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30 August 2013

Quantitative Analysis
Academic Abstracts monitor
The Macquarie Global Quant Conference on Sept 16-17 in Hong Kong is only
a few weeks out. Please contact your Macquarie representative if you are
interested in attending or for more information. Link to Conference Details.
Some of this months interesting ideas:
Quality minus Junk Asness, Frazzini and Pedersen turn their attention to
quality metrics. They find that quality has some small predictive power and
that performance is heavily regime based.
Robust distance to default Jessen & Lando finds the merton model
predictive but suggests that it can be improved by adjusting for stochastic
sensitive stocks where the merton model does not work as well.
Value investing Chee, Sloan & Uysal develop a value investing framework
using prospective yields and create a realised yield metric to evaluate value
strategies, attribute returns to value and construct better value measures.
Low Vol Investing Dangl & Kashofer test 63 ways to form low vol portfolios
and finds significant commonality in stocks. Poplularity and commonality of
stocks has led low vol to now trade at a PB premium. Chow, Hsu, Kuo & Li
advocate against nave low vol, implementation issues with liquidity, high
turnover and shifts in exposures over time (PB premium) can erode returns.
Peer company impacts Ozoguz & Rebello suggest that peer company
performance affects corporate decisions of companies. This ties into our work
recently on company-company linkags - Asia Pac Dynamics - Japan rally link
to Asia & Global Dynamics - Customer supplied Alpha
Comparing Textual Processing Heston & Sinha find news impacts stock
performance for 1-2 days, longer weekly news impacts for the next quarter.
Stocks with no news have different returns profiles to stocks with news.
Overfitting backests Prado discusses backtesting and how to avoid
overfitting / data mining. Suggests over fitting models leads to systemic losses
rather than just adding random noise.
Corporate site visits Cheng, Du, Wang & Wang find significant price
reaction around corporate visits, especially for firms in poor information
environments and are positively associated with future earnings news
Factor models or portfolios of factor indices? Lucas & Mendoza suggest
a multi-beta portfolio is superior to a portfolio of factor/style indices.
Financial innovation increases risk Simsek suggests financial innovations
increases portfolio risk vs. reducing risks through risk sharing. Innovation and
belief disagreements lead investors to take more speculative risk.
Predicting forecast error Henderson & Marks uses Revenue and Earnings
foreasts to imply margins which can be used to predict forecast errors.
Predicted forecast errors can help exploit earnings and revenue surprises.
Activist investors add value Bebchuk, Brav & Jiang Performs a study of
~2000 activist interventions from 1994-2007 and finds positive longer term
effects. Improved performance and no reversal initial positive stock spike.
And many more: Read on for all of this months topical articles.
Macquarie Research Quantitative Analysis
30 August 2013 2
Academic Abstracts monitor
Scanning the academic journals so you dont have to
The Macquarie Academic Abstracts Monitor is a monthly report that highlights recent
academic articles that are directly relevant to quantitative investors.
Each month we scan a wide range of academic journals across a variety of subjects from
finance and accounting, to psychology and applied mathematics to find papers that we think
are of interest to our clients.
We focus on ideas that are directly relevant to day-to-day quantitative managers. Esoteric
research can be interesting but we have a philosophy that simple, intuitive ideas are often
best suited to actual implementation.
We include a web link to Journals so that clients can download interesting papers directly.
Working papers offer a timely source of new ideas
We also keep an eye on working paper repositories. The academic review process can be
lengthy (years rather than months) so working papers are often the timeliest source of new
We include a web link to working papers so that clients can download interesting papers
Some of the other interesting papers we spotted this month were
Explaining Low Vol Hsu & Li reviews plausible explanations for the low vol anomaly,
and decomposes low vol returns to show that it captures many other well know factor
Optimism Balasuriya, Muradoglu & Ayton unfortunately find no correlation between
optimism and future performance; the most financially optimistic tend to not perform better
than everyone else.
Flight to quality Marsh and Pfleiderer analyse the optimal adjustments to a portfolio
required in response to a market crisis and suggest that most portfolios only require a
turnover of less than 10% to adjust to the new environment.
Portfolio Concentration Phoa transforms portfolio correlations into a point in cloud
space so they can be visualised.
Earnings Quality as alpha Bender & Nielsen argue that accruals is an alpha factor not
a risk factor because it does not have high significance when regressed against stock
returns, not very volatile for a risk factor. Also most of the alpha for accruals comes from
stock selection.
Inverted strategies outperform too! Arnott, Hsu & Tindall find that the inverted
strategies of many proposed outperforming portfolios also outperform. They suggest this
is due to intrinsic small cap and value biases over a market cap weighted index even in the
inverted strategies.

Macquarie Research Quantitative Analysis
30 August 2013 3
Quarterly Journal of Economics
Volume 128, Issue 3
Title: Speculation and Risk Sharing with New Financial Assets
Authors: Alp Simsek
Abstract Link:
Key words: Suggests that increasing financial innovations have increased portfolio

Review of Financial Studies
September 2013, Volume 26, Issue 9
Title: Estimating the Costs of Issuer-Paid Credit Ratings
Authors: Jess Cornaggia, Kimberly J. Cornaggia
Abstract Link:
Key words: Rapid Ratings, Moodys, loss avoidance, default risk, issuer-paid
ratings, subscriber-paid ratings

Title: The Skew Risk Premium in the Equity Index Market
Authors: Roman Kozhan, Anthony Neuberger, Paul Schneider
Abstract Link:
Key words: Skew premium, variance risk

Journal of Index Investing
Fall 2013, Vol.4, No.2
Title: Low-Volatility Investing
Authors: Jason Hsu and Feifei Li
Abstract Link:
Key words: Low-volatility, Index Investing

Title: Using Index ETFs for Multi-Asset-Class Investing: Shifting the Efficient
Frontier Up
Authors: Pankay Agrrawal
Abstract Link:
Key words: Asset Allocation, ETFs

Title: ETFs within Institutional Managed Portfolios: A Review of the Latest
Uses and Trends
Authors: Ursula Marchioni and Paula Niall
Abstract Link:
Key words: Asset Allocation, ETFs, Institutional Funds, Beta strategies

Journal of Banking & Finance
November 2013, Vol. 37, No. 11
Title: Predicting forecast errors through joint observation of earnings and
revenue forecasts
Authors: Brian J. Henderson, Joseph M. Marks
Abstract Link:
Key words:
Analyst forecast; Earnings announcement; Revenue
announcement; Profit margin

Macquarie Research Quantitative Analysis
30 August 2013 4
Journal of Portfolio Management
Summer 2013, Vol.39, No.4
Title: Standing out from the crowd: Measuring Crowding in Quantitative
Authors: Rochester Cahan and Yin Luo
Abstract Link:
Key words: Crowding, systematic strategies, quantitative investing

Title: Earnings quality revisited
Authors: Jennifer Bender and Frank Nielsen
Abstract Link:
Key words: Earnings quality, risk factor, alpha signal, accruals

Title: The surprising alpha from Malkiels monkey and upside-down strategies
Authors: Robert D. Arnott, Jason Hsu, Vitali Kalesnik and Phil Tindall
Abstract Link:
Key words: Upside-down strategies, value and small cap tilts, historical

Title: Portfolio concentration and the geometry of co-movement
Authors: Wesley Phoa
Abstract Link:
Key words: Large correlation matrices, latent structures, portfolio concentration

Financial Management
Fall 2013, Vol.42, No.2
Title: The quote exception rule: Giving high frequency trades an unintended
Authors: Thomas H. McInish, James Upson
Abstract Link:
Key words: Fast and low trades, execution quality, liquidity demanders

Title: Idiosyncratic volatility covariance and expected stock returns
Authors: David R. Peterson, Adam R. Smedema
Abstract Link:
Key words: Idiosyncratic volatility, portfolio volatility, risk-averse investors

Title: On the role of intangible information and capital gains taxes in long-term
return reversals
Authors: Ajay Bhootra
Abstract Link:
Key words: Capital gains, reversals, tax effects, overreaction, intangible information

Macquarie Research Quantitative Analysis
30 August 2013 5
Financial Analysts Journal
July / August 2013, Vol.69 No.4
Title: Flight to Quality and Asset Allocation in a Financial Crisis.
Authors: Terry Marsh and Paul Pfleiderer
Abstract Link:
Key words: Portfolio management, Financial Crisis, Asset allocation

Title: What Drives Corporate Pension Plan Contributions: Moral Hazard or
Tax Benefits?
Authors: Xuanjuan Chen, Tong Yu, and Ting Zhang
Abstract Link:
Key words: Pensions, Tax benefits, Bankruptcy

Title: Active Share and Mutual Fund Performance
Authors: Antti Petajisto
Abstract Link:
Key words: Returns dispersion, Volatility, Mutual Fund.

Journal of Accounting & Economics
November-December 2013, Vol.56, No 2-3
Title: Tax avoidance and geographic earnings disclosure.
Authors: Ole-Kristian Hope, Mark (Shuai) Ma, Wayne B. Thomas
Abstract Link:
Key words: Tax avoidance; Geographic earnings disclosure; SFAS 131; Schedule

Title: Proxy advisory firms and stock option repricing.
Authors: David F. Larcker, Allan L. McCall, Gaizka Ormazabal
Abstract Link:
Key words: Proxy advisory firms; Stock option repricing; Institutional shareholder

Journal of International Financial Markets, Institutions and Money
October 2013, Vol.26
Title: U.S. prompt corrective action and bank risk.
Authors: Rhys ap Gwilym, Angelos Kanas, Philip Molyneux
Abstract Link:
Key words: Prompt corrective action; Credit risk; Default risk; Cointegration;
Switching cointegration

Title: Oil shocks, policy uncertainty and stock market return.
Authors: Wensheng Kang, Ronald A. Ratti
Abstract Link:
Key words: Oil shocks; Economic policy uncertainty; Stock returns; Structural VAR

Macquarie Research Quantitative Analysis
30 August 2013 6
Review of Accounting and Finance
Vol.12, No.3
Title: CEO compensation and firm performance: Evidence from the US
property and liability insurance industry.
Authors: Fang Sun, Xiangjing Wei, Xue Huang
Abstract Link:
Key words: Business performance, CEO compensation, Chief executives,
Compensation, Efficiency, Firm performance, Insurance companies,
P&L insurance industry, Property insurance, United States of America

Title: Market assessment of intangibles and voluntary disclosure about
innovation: the incidence of IFRS.
Authors: Marie-Jose Ledoux, Denis Cormier
Abstract Link:
Key words: Canada, Disclosure, Financial reporting, Intangible assets, International
Financial Reporting Standards, International standards, Stock markets,
Voluntary disclosure

Journal of Corporate Finance
December 2013, Vol.23
Title: Investment opportunities and share repurchases.
Authors: Walter I. Boudry, Jarl G. Kallberg, Crocker H. Liu
Abstract Link:
Key words: REITs; Share repurchases; Investment opportunities

Title: Demographics of dividends.
Authors: Gina Nicolosi
Abstract Link:
Key words: CEO; Dividend policy; Payout policy; Overconfidence; Optimism

Title: Asymmetric benchmarking of pay in firms.
Authors: Francis Bill, Hasan Iftekhar, John Kosed, Sharma Zenu
Abstract Link:
Key words: CEO compensation; VP compensation; Benchmarking; Pay for luck

Journal of Trading
Summer 2013, Vol. 8, No. 3
Title: Block-Crossing Networks and The Value of Natural Liquidity.
Authors: Vladimir Markov, Tito Ingargiola
Abstract Link:
Key words: Dark pools, liquidity, limit pricing.

Title: A Daily Trading Strategy in the ETN Space.
Authors: Lovjit Thukral, Dean Diavatopoulos, Hlyette Geman, Colby Wright
Abstract Link:
Key words: ETN, mispricing, active portfolio management

Macquarie Research Quantitative Analysis
30 August 2013 7
Journal of Forecasting
Volume 32, Issue 6
Title: Predicting Recessions with Factor Linear Dynamic Harmonic
Authors: Marcos Bujosa, Antonio Garca-Ferrer, Arnzazu de Juan
Abstract Link:
Key words: Forecasting ; linear dynamic harmonic regression; leading indicator;
factor analysis; business cycles; Spanish economy

Title: Exponentially Smoothing the Skewed Laplace Distribution for Value-at-
Risk Forecasting.
Authors: Richard Gerlach, Zudi Lu, Hai Huang
Abstract Link:
Key words: asymmetric Laplace distribution; exponential smoothing; forecasting;
skewness and heavy tails; time-varying parameters; value-at-risk (VaR)

Title: The Role of High-Frequency Intra-daily Data, Daily Range and Implied
Volatility in Multi-period Value-at-Risk Forecasting.
Authors: Dimitrios P. Louzis, Spyros Xanthopoulos-Sisinis, Apostolos P. Refenes
Abstract Link:
Key words: Realized GARCH; Value-at-Risk; multiple forecasting horizons;
alternative volatility measures

Macquarie Research Quantitative Analysis
30 August 2013 8
Working papers
National Bureau of Economic Research (NBER)

Title: Unemployment and Business Cycles
Authors: Lawrence J. Christiano, Martin S. Eichenbaum, Mathias Trabandt
Key Words: Developed a general equilibrium model that accounts for labor market

Title: Unethical Culture, Suspect CEOs and Corporate Misbehavior
Authors: Lee Biggerstaff, David C. Cicero, Andy Puckett
Key Words: Outside-hire suspect CEOs and CEOs who personally benefitted from
option backdating were more likely to engage in corporate misbehavior

Title: CEO Investment Cycles
Authors: Yihui Pan, Tracy Yue Wang, Michael S. Weisbach
Key Words: Governance-related factors internal to the firm are as important as
economy-wide factors in explaining firms investments

Title: Happiness, Behavioral Economics, and Public Policy
Authors: Arik Levinson
Key Words: Demonstrate happiness does not react to long-term changes and
overreacts to temporary changes

IMF Working Paper

Title: Two Sides of the Same Coin? Rebalancing and Inclusive Growth in
Authors: Il Houng Lee ; Murtaza H. Syed ; Xin Wang

Key Words: Income inequality in China is mostly explained by location, education,
access to health insurance and labor market variables

Title: Capital Flows are Fickle: Anytime, Anywhere
Authors: John C Bluedorn ; Rupa Duttagupta ; Jaime Guajardo ; Petia Topalova
Key Words: Most types of flows are volatile, generally more for the developed market
than emerging market

Macquarie Research Quantitative Analysis
30 August 2013 9 > q-fin Working Papers

Title: Quantum Tunneling of Stock Price in Range Bound Market Conditions
Authors: Ovidiu Racorean
Abstract Link:

Key words: Found the aforementioned particular stock price movement is
assimilated with a quantum tunneling effect

Title: A Modern Approach to the Efficient-Market Hypothesis
Authors: Gabriel Frahm
Abstract Link:
Key words: Completeness is a sufficient and necessary condition for a market to be
informationally efficient

Title: Gold, Oil, and Stocks
Authors: Jozef Barunik, Evzen Kocenda, Lukas Vacha
Abstract Link:
Key words: No evidence of lead lag relationship among them and they cannot be
used together for risk diversification

Title: Time-reversal asymmetry in financial systems
Authors: X.F. Jiang, T.T. Chen, B. Zheng
Abstract Link:
Key words: Time-reversal asymmetry is at the daily time scale and is mainly
induced by external forces

Title: Where Do Thin Tails Come From?
Authors: Nassim Nicholas Taleb
Abstract Link:
Key words: Introduced a general dose-response curve to explain thin tail

Title: Energy, entropy, and arbitrage
Authors: Soumik Pal, Ting-Kam Leonard Wong
Abstract Link:
Key words: Analyses portfolio performance relative to a benchmark from the lens of
energy and entropy which does not need probabilistic or structural

Macquarie Research Quantitative Analysis
30 August 2013 10
SSRN Working Papers Financial Economics Network
Title: Minimum-Variance Stock Picking - A Shift in Preferences for Minimum-
Variance Portfolio Constituents
Authors: Thomas Dangl, Michael Kashofer
Key Words: Test 63 different ways to form minimum variance portfolios and finds
significant commonality in stocks selected and also used to trade at a
PB discount but now trades at a premium.

Title: Is the Decline in the Information Content of Earnings Following
Restatements Short-Lived?
Authors: Xia Chen, Qiang Cheng, Alvis K. Lo
Key Words: Finds price less responsive to earnings changes after earnings

Title: Short Selling Risk
Authors: Joseph Engelberg, Adam V. Reed, Matthew Ringgenberg
Key Words: Finds short selling risk affect prices in the cross-section. Higher short
selling risk stocks have lower returns

Title: Quality Minus Junk
Authors: Clifford S. Asness, Andrea Frazzini, Lasse Heje Pedersen
Key Words: Quality stocks outperform and varies over time

Title: General Purpose Technologies and Stock Returns
Authors: Po-Hsuan Hsu, Wei Yang
Key Words: Suggests Patents predict consumption and production growth and also
cross section of returns.

Title: Analysts Forecasts During Periods of High Market Uncertainty
Authors: Dan Amiram, Wayne R. Landsman, Edward L. Owens, Stephen Stubben
Key Words: Analysts are less informative during periods of high uncertainty, and
dont revive frequently enough.

Title: Information, Competition, and Investment Sensitivity to Peer Stock
Authors: Arzu Ozoguz, Michael J. Rebello
Key Words: Finds prices of peers affect competition, capital investments and growth
of peer companies

Macquarie Research Quantitative Analysis
30 August 2013 11
Title: News versus Sentiment: Comparing Textual Processing Approaches for
Predicting Stock Returns
Authors: Steven L. Heston, Nitish Ranjan Sinha
Key Words: Finds daily news only impacts stock performance for 1-2 days, while
weekly news impacts stocks for the next quarter. Also finds stocks with
no news have distinctly different future returns than stocks with news.

Title: Insider Trading Laws, Learning and Firm Valuation: A Global
Authors: Udomsak Wongchoti, Pankaj K. Jain, Evgeny Radetsky
Key Words: Stronger insider trading laws lead to more efficient markets. Finds the
convergence rate of P/B faster in markets with strong insider trading

Title: Market Reaction to Announcements of Convertible Bonds Issue in the
United Kingdom
Authors: Norhuda Abdul Rahim
Key Words: Event study finds convertible bond issues lead to stock price
underperformance, suggesting managers time high stock prices to issue.

Title: Robustness of Distance-to-Default
Authors: Cathrine Jessen, David Lando
Key Words: Tests sensitivity of Merton distance to default model, and finds stocks
with stochastic sensitivity are less predictive and suggests adjustments
to make it work better.

Title: A Framework for Value Investing
Authors: Richard G. Sloan, Seungmin Chee, Aydin Uysal
Key Words: Creates a realised value metric based on cash flows and prices which
can be used to see how much of the returns have been driven by
fundamentals vs. speculative to analyse valuation strategies.

Title: Less is More: Evidence from International Asset Pricing Models
Authors: Marie-Claude Beaulieu, Marie-Hlne Gagnon, Lynda Khalaf
Key Words: Tests a large number of international factor models and finds that more
factors leads to identification problems and spurious inference.

Title: Optimal Trading Oracles and a Statistic for Assessing a Trader's
Authors: Graham L. Giller
Key Words: Suggests measuring trader performance by looking at the correlation
between a perfect trading vs. the actual trading.

Macquarie Research Quantitative Analysis
30 August 2013 12
Title: The Effect of Operational Slack, Diversification, and Vertical
Relatedness on the Stock Market Reaction to Supply Chain Disruptions
Authors: Kevin B. Hendricks, Vinod R. Singhal, Rongrong Zhang
Key Words: Analyses supply chain disruptions and finds companies with more slack
have less severe market price reaction.

Title: Robust Market Making
Authors: lvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
Key Words: Finds using robust methods help reduce inventory risk, adverse
selection and increases sharp ratio by assuming errors / noise in the
market marketing models

Title: Identification and Inference Using Event Studies
Authors: Refet S. Grkaynak, Jonathan H. Wright
Key Words: Reviews the use of event studies and suggests that it is useful to answer
questions in macro-economics and finance.

Title: Search for Alpha-Ema Weighted Momentum Based Approach
Authors: Anirudh Mehta
Key Words: Explores the momentum effect and finds weak form efficiency and finds
there is a weak momentum effect.

Title: Indexers and Co-Movement
Authors: Vincent Gregoire
Key Words: Suggests a large part of the increase in co-movement in stocks was due
to the introduction of indexation since 1970s

Title: Analysing the Effects of Tactical Overlays on Equal-Weighted and (Min
CVAR) Equal Risk-Weighted Portfolios
Authors: Sathish Umapathy
Key Words: Finds overlays can enhance strategic portfolios if you can identify the
right one to use in each regime

Title: Are Stock Markets Really so Inefficient? The Case of the 'Halloween
Authors: Hubert Dichtl, Wolfgang Drobetz
Key Words: Tests the seasonality effect and finds that it has weakened recently

Title: Are Investors Corporate Site Visits Informative?
Authors: Qiang Cheng, Fei Du, Xin Wang, Yutao Wang
Key Words: Finds significant price reaction around corporate visits, especially for
firms in poor information environments and positively associated with
future earnings news.

Macquarie Research Quantitative Analysis
30 August 2013 13
Title: Indexing, Transformed: Using Data Transformations to Create Multi-Beta
Authors: Ian Lucas, Christopher Mendoza
Key Words: Suggests a multi-beta portfolio is superior to a portfolio of several pure
style indices

Title: Market Reaction to Earnings News: A Unified Test of Information Risk
and Transaction Costs
Authors: Qi Zhang, Charlie X. Cai, Kevin Keasey
Key Words: Finds strong earnings news reaction with high information risk stocks.

Title: Culture and R2
Authors: Cheol S. Eun, Lingling Wang, Steven Chong Xiao
Key Words: Finds stocks co-move more (less) in more collectivistic (individualistic)

Title: Investor Overreaction to Analyst Reference Points
Authors: Jean-Sebastien Michel
Key Words: Finds investors over-react to analysts forecasts which are exactly at the
maximum or minimum of guidance range.

Title: Did Behavioral Mutual Funds Exploit Market Inefficiencies During or after
the Financial Crisis?
Authors: Nikolaos Philippas
Key Words: Finds behavioural funds underperformed during the financial crisis from
2007-2013 and were unable to take advantage of market inefficiencies
and behavioural biases.

Title: Do Behavioral Biases Affect Order Aggressiveness?
Authors: Jiangze Bian, Kalok Chan, Donghui Shi, Hao Zhou
Key Words: Finds evidence of the disposition effect in the aggressiveness of traders
on the Shanghai stock exchange. Prior investment outcome impacts
risk taking behavior of investors.

Title: Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Authors: Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou
Key Words: Improves on the Baker and Wurgler (2006) measure of investor
sentiment by reducing the noise components.

Title: Individual Investors' Trading Motives and Security Selling Behavior
Authors: Joachim Weber, Benjamin Loos, Steffen Meyer, Andreas Hackethal
Key Words: Finds liquidity based sales exhibit more behavioural biases than
speculative trades.

Macquarie Research Quantitative Analysis
30 August 2013 14
Title: Is it Better to Be Optimistic? -- Financial Optimism and Well-Being
Authors: Jiayi Balasuriya, Yaz Gulnur Muradoglu, Peter Ayton
Key Words: Finds that being optimistic doesnt significantly improve financial
prospects, and tends to be negatively correlated with current wealth.
Optimism may be delusional and not related to future prospects.

Title: Identifying Skilled Mutual Fund Managers by Their Ability to Forecast
Authors: Hao Jiang and Lu Zheng
Key Words: Authors review the ability of fund managers to forecast earnings and use
this as a benchmark for evaluating skillful fund managers. They observe
that this signal does a good job in evaluating fund managers.

Title: Trading Volume and Time Varying Betas
Authors: Christopher Hrdlicka
Key Words: The paper evaluates link between trading volume and market betas and
finds that volume and changes in betas are positively correlated.

Title: Management Forecast Quality and Capital Investment Decisions
Authors: T Goodman, M Neamtiu, N Shroff and H White
Key Words: Authors show that managers with higher quality external earnings
forecasts make better investment decisions and this information can be
used to infer the quality of capital budgeting decisions within the firms.

Title: A Survey of Low Volatility Strategies
Authors: Tzee-man Chow, Jason Hsu, Li-Lan Kuo and Feifei Li
Key Words: Authors review the performance of low volatility strategies and highlight
implementation challenges which if ignored can lead to lower returns.

Title: The Probability of Back-Test Over-Fitting
Authors: Marcos Lopez de Prado
Key Words: Authors review the challenges of using back-testing methodology to
justify investments in trading signals

Title: The Long-Term Effects of Hedge Fund Activism
Authors: L Bebcuk, A Brav and W Jiang
Key Words: Authors using long-run data show that shareholder activism leads to
longer-term improvements in firms operating performance and returns.

Macquarie Research Quantitative Analysis
30 August 2013 15
Title: Following the Rules? Corporate Tax Reporting by CEOs with Military
Authors: Kelvin Law and Lillian Mills
Key Words: Authors find that CEOs with military experience pay higher cash and
GAAP tax rates, less likely to be sued, restate financial statement and
engage in earnings management.

Title: Do Fraudulent Firms Engage in Disclosure Herding?
Authors: Gerard Hoberg and Craig Lewis
Key Words: Authors using text analysis find firms use complexity to potentially
conceal fraudulent activity, and these firms often discuss issues relating
to uncertainty, litigation, and speculative statements.

Title: The Value of Soft Information in Credit Rating Reports
Authors: Sumit Agarwal, Vincent Chen and Weina Zhang
Key Words: Authors using text analysis find that positive tone is related to positive
abnormal returns during downgrade s and tone also provides default-
related information.

Title: Earnings Targets and Annual Bonus Incentives
Authors: R Indjejikian, M Matejka, K Merchant and Wim Van der Stede
Key Words: Authors observe that companies review past information when setting
earnings targets in bonus plans and revise if theyre not being met.

Title: Individual Investors and Financial Disclosure
Authors: A Lawrence
Key Words: Authors observe that individual investors invest more in firms with clear
and concise disclosures as it reduces relative information disadvantage.

Title: Investor Attention, Visual Price Pattern and Momentum Investing
Authors: Li-Wen Chen and Hsin-Yi Yu
Key Words: Authors observe that stocks with discernible visual patterns of past
prices are more likely to grab investor attention leading to stronger
momentum profits.

Title: An Algorithm for Computing Risk Parity Weights
Authors: Florin Spinu
Key Words: Authors discuss an algorithm to compute risk parity weights.

Macquarie Research Quantitative Analysis
30 August 2013 16
Title: The Effects of Headquarters Co-Location on Firms Information
Authors: J Jennings, J Lee, D Matsumoto
Key Words: Authors that the co-location of firms in the same industry not only affects
operating decisions but also managements communication with
investors and financial analysts.

Title: Board Committee Monitoring and CEO Pay: Some New Evidence
Authors: Shams Pathan, Peh Hwa Wong and Stephen Gray
Key Words: Authors investigate how and to what extent the monitoring capabilities of
the three principal board committees (audit, compensation and
nomination) relate to CEO pay (i.e., total pay, mix and incentives) and
note that the effect of board committee monitoring intensity on CEO pay
is both statistically and economically significant.

Macquarie Research Quantitative Analysis
30 August 2013 17
Important disclosures:
Recommendation definitions
Macquarie - Australia/New Zealand
Outperform return >3% in excess of benchmark return
Neutral return within 3% of benchmark return
Underperform return >3% below benchmark return

Benchmark return is determined by long term nominal
GDP growth plus 12 month forward market dividend
Macquarie Asia/Europe
Outperform expected return >+10%
Neutral expected return from -10% to +10%
Underperform expected return <-10%
Macquarie First South - South Africa
Outperform expected return >+10%
Neutral expected return from -10% to +10%
Underperform expected return <-10%
Macquarie - Canada
Outperform return >5% in excess of benchmark return
Neutral return within 5% of benchmark return
Underperform return >5% below benchmark return
Macquarie - USA
Outperform (Buy) return >5% in excess of Russell
3000 index return
Neutral (Hold) return within 5% of Russell 3000 index
Underperform (Sell) return >5% below Russell 3000
index return

Volatility index definition*
This is calculated from the volatility of historical
price movements.

Very highhighest risk Stock should be
expected to move up or down 60100% in a year
investors should be aware this stock is highly

High stock should be expected to move up or
down at least 4060% in a year investors should
be aware this stock could be speculative.

Medium stock should be expected to move up
or down at least 3040% in a year.

Lowmedium stock should be expected to
move up or down at least 2530% in a year.

Low stock should be expected to move up or
down at least 1525% in a year.
* Applicable to Asia/Australian/NZ/Canada stocks
Recommendations 12 months
Note: Quant recommendations may differ from
Fundamental Analyst recommendations
Financial definitions
All "Adjusted" data items have had the following
adjustments made:
Added back: goodwill amortisation, provision for
catastrophe reserves, IFRS derivatives & hedging,
IFRS impairments & IFRS interest expense
Excluded: non recurring items, asset revals, property
revals, appraisal value uplift, preference dividends &
minority interests

EPS = adjusted net profit / efpowa*
ROA = adjusted ebit / average total assets
ROA Banks/Insurance = adjusted net profit /average
total assets
ROE = adjusted net profit / average shareholders funds
Gross cashflow = adjusted net profit + depreciation
*equivalent fully paid ordinary weighted average
number of shares

All Reported numbers for Australian/NZ listed stocks
are modelled under IFRS (International Financial
Reporting Standards).

Recommendation proportions For quarter ending 30 June 2013
Outperform 49.80% 57.68% 48.05% 41.13% 61.75% 47.10% (for US coverage by MCUSA, 8.12% of stocks followed are investment banking clients)
Neutral 39.85% 24.45% 42.86% 54.70% 34.42% 30.89% (for US coverage by MCUSA, 6.60% of stocks followed are investment banking clients)
Underperform 10.35% 17.87% 9.09% 4.17% 3.83% 22.01% (for US coverage by MCUSA, 0.00% of stocks followed are investment banking clients)

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