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Andrew Ainsworth

Andrew Ainsworth

BEc(Hons) UWA; MFin UNSW; PhD UNSW
Senior Lecturer

Rm 508
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9036 7992
Fax +61 2 9351 6461
andrew.ainsworth@sydney.edu.au

Bio

Andrew Ainsworth is a Senior Lecturer in the Finance Discipline. He received his PhD in Finance from the University of New South Wales and holds a Bachelor of Economics with First Class Honours from the University of Western Australia. Prior to undertaking his PhD, he was an analyst at the Reserve Bank of Australia.

Andrew’s research focuses on dividends and the imputation tax system. His research explores the effect that dividend payments have on asset pricing, investment management, trading behaviour and liquidity in financial markets. Andrew’s research has been awarded the Philip Brown Prize 2014 for the best published paper in 2014 using SIRCA data and the 2009 Chartered Financial Analysts Best Paper Prize (Asian Investments) at the Asian Finance Association Conference. Andrew has received a number of research grants to investigate the functioning of the imputation tax system in Australia and the fee landscape for superannuation funds in Australia. Andrew serves on the Editorial Advisory Board of Managerial Finance.

In 2016, Andrew established the University of Sydney Student Managed Fund. He is one of the two academic coordinators of the Student Managed Fund and sits on the Investment Committee. The Student Managed Fund is a full-year program that enables a small group of students to apply their academic knowledge and acquire practical skills by managing a portfolio of Australian equity securities using real money in real time. Profits from the Fund’s activities will be used to provide scholarships for disadvantaged students.

Andrew has received numerous awards and grants for his teaching including the 2015 Wayne Lonergan Teaching Award (Early Career). He teaches investments and applied portfolio management units.

Research Interests

Dr Ainsworth’s research interests centre on dividends, the imputation tax system and the value that the market places on dividends and franking credits. His research explores the effect that dividend payments have on asset pricing, investment management, the trading behaviour of individual and institutional investors, and liquidity in financial markets.

A number of recent government inquiries have examined the imputation tax system and questioned its continued operation. In addition, there has been considerable discussion of this issue by media commentators. The vast majority of opinions on the future of the dividend imputation system are not based on hard scientific evidence. Andrew’s research aims to provide this evidence to inform the policy debate regarding the imputation tax system. The importance of this research is highlighted by the Association of Superannuation Funds of Australia estimate that dividend imputation increases the return on domestic equities by about 1.3% to 1.5% for Australian investors.

The valuation of company dividend payments and franking credits by investors is a key factor that determines their trading decisions. Andrew’s research investigates dividend valuation by using new approaches, such as the information contained in short-sales contracts as well as by examining stock returns across 40 countries to isolate country-specific determinants of valuation.

The trading behaviour of investors surrounding ex-dividend days is important in aiding our understanding of the value that is placed on dividends and franking credits. Andrew’s research has examined the trading behaviour of investment funds in the Australian stock market and how they respond to taxes. He has also investigated how individual investors trade and finds that individual investors have strong demand for franking credits. Institutional investors, on the other hand, are willing to trade with the individual investors to transfer the franking credits. These findings have implications for the balance of the Federal Budget as financial market participants appear to be arbitraging the imputation tax system.

The valuation and trading by investors also impacts liquidity in stock markets. Andrew’s research has shown that traders who want to acquire dividend and franking credits become increasingly aggressive in their trading and demand liquidity from sellers immediately prior to the ex-dividend day. This liquidity demand from buyers leads to an increase in prices. Additional research uses highly detailed intraday data to provide a unique insight into how the evaporation of liquidity leads to a significant increase in trading costs for traders attempting to acquire dividend and imputation tax credits. Perhaps there isn’t a free lunch after all.

Andrew is also interested in asset pricing and investment management and the factors that drive stock prices and the performance of investment managers. Here, his research has investigated both risk-based, rational explanations, as well as anomalous explanations that are inconsistent with market efficiency.

2017

4
Journal Article/s

Ainsworth A, Fong K, Gallagher D and Partington G 2017 Forthcoming 'Taxes, Order Imbalance and Abnormal Returns around the Ex-Dividend Day', International Review of Finance [Link]

2016

4
Journal Article/s

Ainsworth A, Fong K, Gallagher D and Partington G 2016 'Institutional trading around the ex-dividend day', Australian Journal of Management, vol.41:2, pp. 299-323 [Link]

Ainsworth A, Partington G and Warren G 2016 'The impact of dividend imputation on share prices, the cost of capital and corporate behaviour', JASSA:1, pp. 41-49 [Link]

Ainsworth A 2016 'Dividend imputation: The international experience', JASSA:1, pp. 58-63 [Link]

5
Conference Paper/s

Partington G, Ainsworth A, Gallagher D and Fong K 2016 'Taxes, Order Imbalance and Abnormal Returns around the Ex-Dividend Day', 14th INFINITI Conference on International Finance, Dublin, Ireland, 14th June 2016

2015

5
Conference Paper/s

Ainsworth A and Nicholson M 2015 'Can Dividend Schedules Predict Abnormal Returns? International Evidence', 2015 Financial Management Association FMA Annual Meeting, Orlando, United States, 17th October 2015

Ainsworth A and Nicholson M 2015 'Can Dividend Schedules Predict Abnormal Returns? International Evidence', 6th Conference on Financial Markets and Corporate Governance 2015, Freemantle, Australia, 10th April 2015

2014

4
Journal Article/s

Ainsworth A and Lee AD 2014 'Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia', Journal of Financial Markets, vol.30, pp. 101-28 [Link]

5
Conference Paper/s

Ainsworth A and Lee A 2014 'The Influence of Individual Investors on Ex-Dividend Returns', 2014 Financial Management Association Annual Meeting, Nashville, United States, 18th October 2014

6
Conference Proceeding/s

Lai E, Ainsworth A, McKenzie M and Partington G 2014 'The Value of Dividends: Evidence from Short-Sales', Proceedings of the European Financial Management Association 2014 Annual Meetings, Rome, Italy, 28th June 2014

2013

5
Conference Paper/s

Ainsworth A and Lee A 2013 'The Influence of Individual Investors on Ex-Dividend Day Returns', 26th Australasian Finance and Banking Conference AFBC 2013, Sydney, Australia, 19th December 2013

Ainsworth A and Lee A 2013 'The Influence of Individual Investors on Ex-Dividend Day Returns', 3rd Auckland Finance Meeting, Auckland University of Technology, New Zealand, 17th December 2013

Ainsworth A and Lee A 2013 'The Influence of Individual Investors on Ex-Dividend Day Returns', Personal Finance and Investment Symposium, Brisbane, Australia, 31st October 2013

Ainsworth A, Corbett A and Pattenden K 2013 'The Appropriateness of Equity Funds' Self-designated Benchmarks', Financial Management Association Asia Conference 2013, Shanghai, China, 19th April 2013

2012

5
Conference Paper/s

Ainsworth A, Lee A and Walter T 2012 'Can Firm-Specific Dividend Drop-Off Ratios be Used to Infer Shareholder Marginal Tax Rates?', Behavioural Finance and Capital Markets Conference 2012, Adelaide, Australia, 18th July 2012

2011

2
Book Section/s

Ainsworth A 2011 'Passive Portfolio Management and Fixed-Income Investing' in Asset Management: Tools and Strategies, Bloomsbury Information Ltd, London, United Kingdom, pp. 19-24

5
Conference Paper/s

Ainsworth A and Lee A 2011 'Ex-dividend day bid-ask spread effects in a limit order book market setting', European Financial Management Association Annual Meeting EFMA 2011, Braga, Portugal, 25th June 2011

Ainsworth A and Lee A 2011 'Why does the Bid-Ask Spread Widen on Ex-Dividend Days in Australia?', Financial Management Association FMA Asian Conference 2011, Queenstown, New Zealand, 8th April 2011

2010

5
Conference Paper/s

Ainsworth A, Fong K, Gallagher DR and Partington G 2010 'Taxes, Price Pressure and Order Imbalance around the Ex-Dividend Day', Financial Management Association FMA Asian Conference 2010, Singapore, 16th July 2010

6
Conference Proceeding/s

Ainsworth A and Lee A 2010 'Why Does The Bid-ask Spread Widen On Ex-dividend Days In Australia?', Accounting and Finance Association of Australia and New Zealand AFAANZ Conference 2010, Christchurch, New Zealand, 6th July 2010

2009

5
Conference Paper/s

Ainsworth A, Fong K, Gallagher DR and Partington G 2009 'Institutional Trading Around the Ex-Dividend Day - Winner of the Chartered Financial Analysts best paper prize (Asian Investments)', Asian Finance Association Conference 2009, Brisbane, Australia, 3rd July 2009

Ainsworth A, Fong K, Gallagher DR and Partington G 2009 'Institutional Trading Around the Ex-Dividend Day', Financial Management Association European Conference 2009, Turin, Italy, 5th June 2009

2008

4
Journal Article/s

Ainsworth A, Fong K and Gallagher DR 2008 'Style Drift and Portfolio Management for Active Australian Equity Funds', Australian Journal of Management, Special Issue on Delegated Portfolio Management, vol.32:3, pp. 387-418

5
Conference Paper/s

Ainsworth A, Fong K, Gallagher DR and Partington G 2008 'Institutional Trading Around the Ex-Dividend Day', 21st Australasian Finance and Banking Conference, Sydney , Australia, 18th December 2008

Ainsworth A, Fong K, Gallagher DR and Partington G 2008 'Institutional Trading Around the Ex-Dividend Day', 2008 PhD Conference in Economics and Business, Australian National University, Canberra, Australia, 21st November 2008

Ainsworth A, Fong K, Gallagher DR and Partington G 2008 'Institutional Trading Around the Ex-Dividend Day', 13th FINSIA – Melbourne Centre for Financial Studies Banking and Finance Conference, Melbourne, Australia, 29th September 2008

2007

4
Journal Article/s

Ainsworth A, Gallagher DR and Gardner P 2007 'Performance Evaluation and the Potential Biases in Fund Manager Return Databases', JASSA:2 Winter, pp. 21-27

Recent Units Taught

  • FINC3017 Investments and Portfolio Management

    2017: S1,
    2016: S1, S2,
    2015: S1, S2, SS,

  • FINC3301 Applied Portfolio Management A

    2017: S1,

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