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The influence of time, seasonality and market state on momentum : insights from the Australian stock market

Phua, Victor; Chan, Howard Wei-hong; Faff, Robert W.; … - In: Applied financial economics 20 (2010) 19/21, pp. 1547-1563

Persistent link: https://www.econbiz.de/10009011588

Testing a two-factor APT model on Australian industry equity portfolios : the effect of intervaling

Josev, Thomas; Brooks, Robert; Faff, Robert W. - In: Applied financial economics 11 (2001) 2, pp. 157-163

Persistent link: https://www.econbiz.de/10001563335

A multifactor model of gold industry stock returns : evidence from the Australian equity market

Faff, Robert W. - In: Applied financial economics 8 (1998) 1, pp. 21-28

Persistent link: https://www.econbiz.de/10001240716

The stock market impact of German reunification : international evidence

Brooks, Robert; Faff, Robert W.; Sokulsky, David L. - In: Applied financial economics 15 (2005) 1, pp. 31-42

Persistent link: https://www.econbiz.de/10002529583

Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Persistent link: https://www.econbiz.de/10003963131

Feedback trading and the behavioural ICAPM : multivariate evidence across international equity and bond markets

Dean, Warren G.; Faff, Robert W. - In: Applied financial economics 21 (2011) 22/24, pp. 1665-1678

Persistent link: https://www.econbiz.de/10009385058

Maximizing futures using fixed fraction asset allocation

Anderson, John A.; Faff, Robert W. - In: Applied financial economics 14 (2004) 15, pp. 1067-1073

Persistent link: https://www.econbiz.de/10002390879

Correlations, integration and Hansen-Jagannathan bounds

Ragunathan, Vanitha; Faff, Robert W.; Brooks, Robert - In: Applied financial economics 14 (2004) 16, pp. 1167-1180

Persistent link: https://www.econbiz.de/10002409057

An investigation of the robustness of the day-of-the-week effect in Australia

Easton, Stephen Andrew - In: Applied financial economics 4 (1994) 2, pp. 99-110

Persistent link: https://www.econbiz.de/10001160477

Alternative beta risk estimators in cases of extreme thin trading : Canadian evidence

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L.; … - In: Applied financial economics 15 (2005) 18, pp. 1251-1258

Persistent link: https://www.econbiz.de/10003229088