2021 |
Docherty P, Easton S, Pinder S, 'Flights-to-control: Time variation in the value of a vote', Journal of Corporate Finance, 66 (2021)
© 2020 Elsevier B.V. Dual-class shares often violate the ¿one share-one vote¿ principle, thereby creating the potential for agency problems. We develop a model of time-variation i... [more]
© 2020 Elsevier B.V. Dual-class shares often violate the ¿one share-one vote¿ principle, thereby creating the potential for agency problems. We develop a model of time-variation in the pricing of these agency problems, as reflected by the voting premium. A key implication of this model is that insiders face a trade-off between the private benefits of control and the value of their cash-flow claims on the firm, resulting in a negative relationship between the voting premium and the expected present value of firm cash flows. As predicted by this model, we report empirical evidence consistent with ¿flights-to-control¿, where the voting premium increases substantially during financial crises and when negative earnings surprises are announced. These relationships are accentuated for firms where agency problems might be expected to be more pronounced. The average voting premium is also shown to decrease around events that reduce the ability for insiders to extract private benefits of control.
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2020 |
Melia A, Docherty P, Easton S, 'The impact of regulation on the seasoned equity offering decision', Australian Journal of Management, 45 94-113 (2020) [C1]
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2018 |
Easton S, Pinder S, Stern S, 'Documenting the functional form of dynamic risk-taking behaviour in a real options context using sporting contests', Accounting and Finance, 58 159-178 (2018) [C1]
© 2017 AFAANZ Changes in risk-taking behaviour based on interim performance are examined in high-stakes competition. A real options framework is used to provide a richer character... [more]
© 2017 AFAANZ Changes in risk-taking behaviour based on interim performance are examined in high-stakes competition. A real options framework is used to provide a richer characterisation of risk-taking behaviour than examined in extant studies. This framework is applied to an examination of ball-by-ball data from 1207 cricket matches. Consistent with modelled expectations, risk taking is found to increase (decrease) at a decreasing rate following below par (above par) interim performance. This result is especially strong in¿situations where the resources remaining are low, a result predicted by the real options model.
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2018 |
Melia A, Chan H, Docherty P, Easton S, 'Explanations of cycles in seasoned equity offerings: An examination of the choice between rights issues and private placements', Pacific Basin Finance Journal, 50 16-25 (2018) [C1]
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2018 |
Docherty PA, Easton S, Elliot B, Lee D, 'Profitability and investment-based factor pricing models', Accounting and Finance, 58 397-421 (2018) [C1]
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2018 |
Docherty PA, Easton S, 'State-varying illiquidity risk in sovereign bond spreads', Pacific-Basin Finance Journal, 50 235-248 (2018) [C1]
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2016 |
McCredie B, Docherty P, Easton S, Uylangco K, 'The channels of monetary policy triggered by central bank actions and statements in the Australian equity market', International Review of Financial Analysis, 46 46-61 (2016) [C1]
© 2016 Elsevier Inc. Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by ... [more]
© 2016 Elsevier Inc. Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.
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2016 |
Melia A, Docherty P, Easton S, 'Net share issues and the cross-section of equity returns under a dividend imputation tax system', Accounting & Finance, 56 1097-1117 (2016) [C1]
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2015 |
Docherty PA, Easton S, 'The long-run efficiency gains in public-to-private transfers: New evidence from earnings announcements', Journal of Banking and Finance Law and Practice, 26 227-239 (2015) [C1]
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2014 |
Docherty P, Easton S, 'A note on the pricing of Australian government asset sales', Australian Journal of Management, 39 415-423 (2014) [C1]
Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian govern... [more]
Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian government assets earn economically and statistically significant positive abnormal returns. However, unlike privatisations via initial public offerings where all citizens are entitled to subscribe for shares, in privatisations via asset sales only acquiring company shareholders benefit from any under-pricing. This suggests the need for greater scrutiny to ensure fair pricing in privatisation via asset sales. © The Author(s) 2013.
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2014 |
McCredie B, Docherty P, Easton S, Uylangco K, 'The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market', Pacific Basin Finance Journal, 29 261-271 (2014) [C1]
Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that expla... [more]
Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2. weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market.We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms. © 2014 Elsevier B.V.
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2014 |
Akhtaruzzaman MD, Shamsuddin AFM, Easton S, 'Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms', Journal of International Financial Markets, Institutions and Money, 31 378-396 (2014) [C1]
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2013 |
Easton S, Pinder S, Uylangco K, 'A case study of short-sale constraints and limits to arbitrage', Journal of Banking & Finance, 37 3924-3929 (2013) [C1]
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2013 |
Docherty P, Chan H, Easton S, 'Australian evidence on the implementation of the size and value premia', ACCOUNTING AND FINANCE, 53 367-391 (2013) [C1]
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2013 |
Docherty P, Chan H, Easton S, 'Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia', PACIFIC-BASIN FINANCE JOURNAL, 22 107-124 (2013) [C1]
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2012 |
Docherty PA, Easton SA, 'Market efficiency and continuous information arrival: Evidence from prediction markets', Applied Economics, 44 2461-2471 (2012) [C1]
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2011 |
Docherty PA, Chan H, Easton SA, 'Asset tangibility, industry representation and the cross section of equity returns', Australian Journal of Management, 36 75-87 (2011) [C1]
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2010 |
Easton SA, Kerin P, 'Market efficiency and the Global Financial Crisis', Australian Economic Review, 43 464-468 (2010) [C1]
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2010 |
Docherty PA, Chan H, Easton SA, 'Tangibility and investment irreversibility in asset pricing', Accounting and Finance, 50 809-827 (2010) [C1]
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2010 |
Easton SA, Uylangco KM, 'Forecasting outcomes in tennis matches using within-match betting markets', International Journal of Forecasting, 26 564-575 (2010) [C1]
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2010 |
Uylangco KM, Easton SA, Faff R, 'The equity and efficiency of the Australian share market with respect to director trading', Accounting Research Journal, 23 5-19 (2010) [C1]
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2007 |
Easton SA, Gerlach R, 'Modelling exchange-traded barrier options traded in the Australian options market', Accounting and Finance, 47 109-122 (2007) [C1]
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2007 |
Easton SA, Uylangco KM, 'An Examination of In-Play Sports Betting Markets Using One-Day Cricket Matches', Journal of Prediction Markets, 1 93-109 (2007) [C1] |
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2007 |
Easton SA, 'Valuing coins as the sum of the underlying asset and a perpetual American put option', Global Finance Journal, 17 397-402 (2007) [C1]
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2007 |
Easton SA, Pinder SM, 'A Refutation of the Existence of the Other January Effect', International Review of Finance, 7 89-104 (2007) [C1]
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2007 |
Easton SA, Pinder S, 'Predicting Reserve Bank of Australia interest rate announcements: Beware of the target rate tracker', Australian Economic Review, 40 119-122 (2007) [C1]
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2007 |
Easton SA, Ivanovic I, 'An examination of the Australian Stock Exchange and Australian Financial Review's fair values', International Journal of Managerial Finance, 3 306-312 (2007) [C1]
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2006 |
Easton SA, 'Sons of Gwalia: Errors in speculation and hedging', Australian Economic Review, 39 453-456 (2006) [C1]
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2005 |
Easton SA, Gerlach RH, 'Interest rates and the 2004 Australian election', Australian Journal of Political Science, 40 559-566 (2005) [C1]
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2005 |
Easton SA, Howard P, 'Agency Costs at Telstra: A Case Study', The Australian Economic Review, 38 229-232 (2005) [C1]
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2004 |
Easton SA, Gerlach RH, Graham M, Tuyl FA, 'An empirical examination of the pricing of exchange-traded barrier options', The Journal of Futures Market, 24 1049-1064 (2004) [C1]
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2003 |
Easton SA, Ivanovic I, 'Insider Training and Options: A Case Study', Accounting Research Journal, 16 169-173 (2003) [C1] |
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2002 |
Duncan PJ, Easton SA, 'The pricing of High Yield Equity Notes', Accounting and Finance Journal, 42,3 239-249 (2002) [C1]
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2002 |
Mitchell H, Brown R, Easton SA, 'Old volatility - ARCH effects in 19th century consol data', Journal of Applied Financial Economics, 12 301-307 (2002) [C1]
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2002 |
Duncan PJ, Easton SA, 'Direct Evidence of an Implicit Put Option Provided by Underwriters', Accounting Research Journal, 15,2 200-206 (2002) [C1] |
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2001 |
Easton SA, 'Learning from the Olympics: A Case Study in Option Strategies', Accounting Research Journal, 14 200-203 (2001) [C1] |
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2000 |
Easton SA, Pinder SM, 'The Demutualisation of AMP Society: An Example of the Valuation of Collars Comprising Asian Options', Australian Journal of Management, 25,3 283-297 (2000) [C1]
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1998 |
Easton SA, Pinder SM, 'Understanding and Valuing Asian Options', Accounting Research Journal, 11,2 412-415 (1998) [C1] |
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1998 |
Pinder SM, Easton SA, 'The Pricing of Low Exercise Price Options', Australian Journal of Management, 23,2 203-212 (1998) [C1]
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1997 |
Easton SA, 'Put-call parity with futures-style margining', Journal of Futures Markets, 17 215-227 (1997)
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1996 |
Easton S, 'The Pricing of Australian Government Sector Initial Public Offerings', Applied Economics Letters, 0 603-605 (1996) [C1] |
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1996 |
Easton S, 'A Note on Modified Lattice Approaches to Option Pricing', Journal of Futures Markets, 16 63-75 (1996) [C1] |
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1996 |
Easton SA, 'A note on modified lattice approaches to option pricing', Journal of Futures Markets, 16 585-594 (1996)
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1996 |
Easton SA, 'Valuing bonds with embedded average price options', Australian Journal of Management, 21 29-40 (1996)
Average price options are based on the average (either arithmetic or geometric) price of the underlying asset during an option's life. Recently, Australia's largest priv... [more]
Average price options are based on the average (either arithmetic or geometric) price of the underlying asset during an option's life. Recently, Australia's largest private bank, the National Australia Bank, and the regional Metway Bank, have issued bonds that contain embedded arithmetic average share index options. The purpose of this paper is to value these options using Monte Carlo simulation, and then to value the bonds themselves. Using a wide range of estimates of the parameters that determine the values of these bonds, it would appear that the fixed-term deposits offered by these same banks represent more profitable investments. © The University of New South Wales.
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1996 |
Easton SA, Pinder SMP, 'Australian government sector initial public offerings', Applied Economics Letters, 3 603-605 (1996)
The paper examines the initial pricing of all Australian government sector initial public offerings (IPOs) that have been made over the last six years. A statistically significant... [more]
The paper examines the initial pricing of all Australian government sector initial public offerings (IPOs) that have been made over the last six years. A statistically significant first-day average abnormal return of approximately 8% is found. Contrary to overseas findings, there is no evidence that these government sector IPOs were more underpriced than Australian private sector IPOs.
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1995 |
Easton S, 'A Note on the Effects of Contract Adjustments on the Prices of Put and Call Options', Journal of Banking And Finance, 19 937-948 (1995) [C1]
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1995 |
Easton S, 'The Accuracy and Timeliness of Survey Forecasts of Six-Month and Twelve-Month Ahead Exchange Rates', Applied Financial Economics, 5 367-372 (1995) [C1]
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1995 |
Easton S, 'The Efficiency of Australian Football Betting Markets', Australian Journal of Management, 20 167-198 (1995) [C1]
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1994 |
Easton SA, 'Non-simultaneity and Apparent Option Mispricing in Tests of Put-Call Parity', Australian Journal of Management, 19 47-60 (1994)
Transaction costs have been offered as the most likely explanation for apparent mispricing found in recent studies of the Australian options market. This paper suggests that anoth... [more]
Transaction costs have been offered as the most likely explanation for apparent mispricing found in recent studies of the Australian options market. This paper suggests that another feature of the market, namely non-simultaneity between option prices and the price of the underlying share, offers a more powerful explanation. It is demonstrated that the types of violations of put-call parity that have been observed in Australia are the types of violations that are to be expected when non-simultaneity is present. It is shown that apparent mispricing in tests of put-call parity will, in the presence of non-simultaneity, be greater for short-term options. Conversely, mispricing will be less for options which are at-the-money, and when the risk-free rate of interest is high. Non-simultaneity is likely to result in put options appearing to be undervalued relative to call options and the underlying share. © 1994, SAGE Publications. All rights reserved.
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1994 |
Easton SA, Faff RW, 'An investigation of the robustness of the day-of-the-week effect in Australia', Applied Financial Economics, 4 99-110 (1994)
The present study analyses the robustness of the day-of-the-week effect in Australia. The results show that sample size can distort the interpretation of classical test statistics... [more]
The present study analyses the robustness of the day-of-the-week effect in Australia. The results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted downward. After providing for sample size adjustment, the evidence of a day-of-the-week in Australia is considerably weakened. Further, error distribution specification tests also reveal widespread departures from ordinary least squares (OLS) assumptions. However, tests conducted using robust techniques that are insensitive to the failure of maintained assumptions provide evidence of a day-of-the-week effect which is very similar to the evidence from OLS regressions. This contrasts with Connolly (1989) who found that the evidence of the day-of-the-week effect in the US market was considerably diminished by the application of these techniques. Robust statistical techniques also show that the Australian day-of-the-week effect is independent of the US day-of-the-week effect. © 1994, Taylor & Francis Group, LLC. All rights reserved.
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1994 |
Easton SA, 'Takeover activity and share returns in Australia: A note', Applied Economics Letters, 1 66-68 (1994)
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1994 |
Easton S, 'Non-Simultaneity and Apparent Option Mispricing in Tests of Put-Call Parity', Australian Journal of Management, 19 11-24 (1994) [C1] |
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1994 |
Easton S, 'Takeover Activity and Share Returns in Australia: A Note', Applied Economics Letters, 1 66-68 (1994) [C1] |
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1994 |
Easton S, 'An Investigation of the Robustness of the Day-of-the-Week Effect', Applied Financial Economics, 4 99-110 (1994) [C1] |
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1993 |
Brailsford TJ, Easton SA, 'New evidence on the impact of tax-loss selling on the turn of the year effect', Journal of Banking and Finance, 17 131-144 (1993)
The turn of the year effect is an empirical regularity which refers to the observation that equity returns on days around the turn of the calendar year are significantly high. A c... [more]
The turn of the year effect is an empirical regularity which refers to the observation that equity returns on days around the turn of the calendar year are significantly high. A common explanation for the effect is the tax-loss selling hypothesis. Three studies have tested this hypothesis by examining equity returns before and after the introduction of the War Revenue Act of 1917. However, these studies have reached inconsistent conclusions. Following these inconsistent findings, this paper examines whether the previous findings are robust to the extension of the pre-tax period, or whether the previous findings are robust to the use of daily data. In contrast to the evidence from existing research which has used daily data, a significant turn of the year effect is found prior to 1917. Furthermore, this effect is shown to be independent of other empirical regularities such as the turn of the month effect and the holiday effect, and seasonality in dividend payments cannot explain the finding. Thus, we conclude that the tax-loss selling hypothesis cannot offer a complete explanation of the turn of the year effect. © 1993.
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1993 |
Easton S, 'Seasonal Empirical Regularities in Daily Indices: 1889-1985', Accounting Research Journal, 6 4-14 (1993) [C1] |
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1993 |
Easton S, 'New Evidence on the Impact of Tax-Loss Selling on the Turn-of-the-Year Effect 0-0 (1993) [C1] |
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1992 |
Easton S, 'Empirical Evidence of Put-Call Parity in Australia: A Reconciliation and Further Evidence', Australian Journal of Management, 17 11-19 (1992) [C1]
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1991 |
Easton S, 'The Impact of Administrative Changes on the Distribution of the Minimum Rate', Australian Economic Papers, 30 348-354 (1991) [C1] |
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1991 |
Easton S, 'Seasonality in Australian Share Price Indices Between 1936 to 1957', Accounting and Finance, 31 69-85 (1991) [C1]
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1991 |
Easton S, 'Earnings and Dividends: Is there an Interaction Effect? 0-0 (1991) [C1] |
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1990 |
Easton S, 'The Impact of the Disclosure of Extraordinary Accounting Items on Returns to Equity', Accounting and Finance, 30 1-14 (1990) [C1]
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1990 |
Easton S, 'Returns to Equity Before and After Holidays: Australian Evidence and Tests of Plausible Hypotheses', Australian Journal of Management, 15 281-296 (1990) [C1]
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1989 |
Easton S, 'The Impact of Unexpected Earnings and Dividends on Abnormal Returns to Equity', Accounting and Finance, 29 1-21 (1989) [C1]
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1989 |
Easton S, 'Weak-Form Efficiency in the Nineteenth Century: A Study of Daily Prices in the London Market for Three Percent Consols 1821-1860', Economica, 56 61-70 (1989) [C1] |
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1988 |
Easton S, 'Scale Economies in the Administration of Local Government 0-0 (1988) [C1] |
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1987 |
Easton SA, Thomson NJ, 'SCALE ECONOMIES IN THE ADMINISTRATION OF LOCAL GOVERNMENT', Australian Journal of Public Administration, 46 293-300 (1987)
Abstract: Part of the argument put forward in support of amalgamating local government authorities is that large councils have advantages of economies of scale. This article quant... [more]
Abstract: Part of the argument put forward in support of amalgamating local government authorities is that large councils have advantages of economies of scale. This article quantifies scale economies by a range of expenditure functions. It shows that amalgamation benefits may be as readily achieved through combining functions as in changing geographic boundaries. Furthermore, the study provides clear evidence that larger councils not only offer more services to ratepayers than smaller councils, but receive less support per capita than small councils from state and commonwealth government sources. This latter conclusion has important implications for those charged with the task of administering the scarce funds available through intergovernment financial arrangements. Copyright © 1987, Wiley Blackwell. All rights reserved
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