Bonus issues, share splits and rights issues are studied in a replication and extension of the classic Fama, Fisher, Jensen and Roll study. On the Melbourne exchange, each category on average is associated with positive abnormal returns. However, the market does not appear to value bonuses or...

The two-moment, mean-variance model of asset pricing is tested against data from the Melbourne stock exchange. The model appears to describe the data quite well, though there are problems in experimental design which are yet to be cleared up. Neither variance nor skewness appears to explain...

In the spirit of Fisher and Lorie (1968), the authors constructed a data base comprising monthly rates of return on 1029 separately-listed Sydney mining equities over the period January 1958 to February 1979. The data base should stimulate further research. The first use of the data is a study...

Australian capital markets, being relatively “thinâ€, present the researcher with a potentially large “errors in the variables†problem. The standard formulation of the problem is inappropriate for estimating securities' systematic risks. The unusual feature in this context is...

The Statex-Actuaries Daily Accumulation Index is the only index for Australian equity markets which incorporates dividends, has daily observations, and has a long sample period. It is thus of considerable interest to researchers in finance who need to work with daily data. Unfortunately, a...

A version of the Black and Scholes dividend yield experiment is conducted, with a view to determining whether there exists a preference for dividends versus capital gains. Using data from the 1960s the experiment reveals a relatively large relationship between dividend yields and risk-adjusted...