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Grant Award View - GA2017-V4
Slow diffusion of information in asset pricing and risk management
GA ID:
GA2017-V4
Agency:
Australian Research Council
Approval Date:
10-Nov-2017
Variation Publish Date:
21-Apr-2022
Variation Date:
12-Apr-2022
Category:
Humanities, Arts and Social Sciences (HASS) Research
Grant Term:
1-Jan-2018 to 31-Dec-2022
Value (AUD):
$363,996.00
(GST inclusive where applicable)
Varies:
GA2017
- Slow diffusion of information in asset pricing and risk management
One-off/Ad hoc:
No
Aggregate Grant Award:
No
PBS Program Name:
ARC 17/18 Discovery
Grant Program:
Discovery Early Career Researcher Award
Grant Activity:
Slow diffusion of information in asset pricing and risk management
Purpose:
This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to news, and novel empirical hypotheses and tests that improve return predictability and reduce crash risks. The project will provide a potential competitive advantage and guidance to Australian investors, including superannuation fund managers, in competitive globalised financial markets.
Internal Reference ID:
DE18 Round 1
Selection Process:
Targeted or Restricted Competitive
Confidentiality - Contract:
No
Confidentiality - Outputs:
No
Grant Recipient Details
Recipient Name:
Macquarie University
Recipient ABN:
90 952 801 237
Grant Recipient Location
Suburb:
MACQUARIE UNIVERSITY
Town/City:
MACQUARIE UNIVERSITY
Postcode:
2109
State/Territory:
NSW
Country:
AUSTRALIA
Grant Delivery Location
State/Territory:
NSW
Postcode:
2109
Country:
AUSTRALIA