Using multiple discriminant analysis, we construct an index that measures firms' external financial constraints in an Australian setting. We form portfolios of firms based on our financial constraints index and find that financially constrained firms earn lower return than their unconstrained...

Purpose – This study aims to test the effects of forecast specificity on the asymmetric short‐window share market response to management earnings forecasts (MEF). Design/methodology/approach – The paper examines a large sample of hand‐checked Australian data over the period 1994 to 2001....

The empirical literature suggests that several different variables are potentially important in explaining the return on gold stocks beyond that of a market factor. The primary aim of this paper is to examine the empirical performance of a specification which incorporates into one multifactor...

Using an extensive Australian sample, we explore two related issues in the context of a default risk asset-pricing factor (DEF) over the business cycle: (a) whether a DEF can explain the size premium in the three-factor Fama–French (FF) model; and (b) whether a DEF has a separate role...

We apply a new methodology, modified Granger causality tests, to further analyze the information flows between earnings and forecasts. Our application focuses on the dynamic interaction between reported earnings and analysts’ forecasts. Based on long time series of analyst earnings...