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...

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...

In reply to Graham, Johnson and Schnabel (1977), we point out that they have raised a relatively difficult question in scientific method. Provided our earlier work is accepted as operating in the context of the two-period model, we reassert that it revealed no anomalous evidence.

Australian companies typically announce profit figures and dividend payouts at the same time. During the 60's and early 70's, profit and dividend changes were positively correlated, and were associated with significant share price changes, after abstracting from market effects. When profit and...

Ruback (1983) proposed a novel test of competition in the market for corporate control. He argued the market would be competitive if, in the context of two or more bidders, it did not pay an unsuccessful offeror to lift his bid to the successful offeror's price. Ruback's evidence was consistent...

This paper analyses the investment performance of 625 investment recommendations made by practitioners attending five Australian courses on portfolio management held between 1973 and 1979. It was found that course participants consistently out-performed the market, on a risk-adjusted basis....

The longâ€run perfor Mance of successful bidders in a takeover has been controversial. We assess their longâ€run perfor Mance by controlling for survival, firm size, and measurement bias in return cumulation. Measures of the perfor Mance of acquiring firms relative to control firms are...

We document shifts in the ex-dividend day pricing of Australian shares that paid cash dividends between 1973 and 1991, and relate these shifts to three major changes in the taxation of capital gains, dividends and superannuation funds. Despite the changes, which on the whole increasingly...