Recently, Fama and French (2014) document a five-factor model that includes the market and factors related to size, book-to-market, profitability and investment outperforms the three-factor model of Fama and French (1993). Using an extensive sample over the period 1982 to 2013, we investigate...

Recently, Fama and French (2014) propose a five-factor model by adding profitability and investment factors to their three-factor model. This model outperforms the three-factor model previously proposed by Fama and French (1993). Using an extensive sample over the 1982 to 2013 period, we...

This study successfully replicates the key findings of Campbell, Lettau, Malkiel, and Xu (2001). We document that aggregate idiosyncratic volatility increases over their sample period from 1962 to 1997. In out-of-sample analysis from 1926 to 1962 and 1998 to 2017, we find that idiosyncratic...

The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand...

Kahle and Stulz (2021) find that inflation-adjusted corporate payouts (dividends and repurchases) in the US are three times larger over the period 2000–2019 (post-2000) compared to the 1971–1999 period (pre-2000), and that the growth in the payouts comes from repurchases instead of...

This study investigates oil price risk exposure of financial and non-financial industries around the world during the COVID–19 pandemic. The empirical results show that oil and gas industries exhibit the highest positive exposure to oil price risk, benefiting most when there is an increase in...

Unlike in other developed equity markets, short sellers in Australia are required to report their covered short positions on a daily basis to the market regulator, who subsequently disseminates this information freely to the public in a very timely manner. If short selling contains negative...

There are two related literatures on financial risk tolerance (FRT) (based on psychometrically-validated surveys) and risk aversion (based on lottery experiments) that hitherto have not been intersected. Exploring their integration is the primary goal of this paper. Specifically, we follow a two...

In this study, we examine the effects of systematic liquidity risk on stock returns in the Australian market. We find that liquidity risk, in the form of (i) the co-movement between individual stock liquidity and market liquidity, (ii) the co-movement between stock returns and market liquidity,...