The possibility of errors exists in all data bases although checks are usually wade to find and eliminate them. Beedles and Simkowitz identified potential errors in recording prices of New York Stock Exchange securities by studying their measured relative skewness. A similar procedure is applied...

The empirical frequency distributions of continuously-compounded monthly share returns on the Melbourne Stock Exchange over 1958-73 are studied for individual securities and portfolios. The typical distributional shape is observed and the stable Paretian and Student t distributions are fitted to...

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...

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...

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...

The folklore that rates of return on the Australian capital market exhibit seasonals is tested. Previous studies by Praetz (1973) and Officer (1975) have reported seasonals. Rozeff and Kinney (1976) follow up these studies and confirm the seasonal in U.S. data. Using spectral techniques, this...

Collinearity in the data set used by Ball, Brown and Officer, in their study of the asset pricing model in the Australian equity market, virtually guarantees the results that they obtain. This applies to their tests of the linearity of risk-return relationships and to their tests of the effects...

This paper conducts several tests of association between accounting information and the systematic risks of firm's equities. It also evaluates several models of the prediction of systematic risk from past rate-of-return information.

Stock market prices are investigated around the dates of takeover offers. The 242 companies in the sample of takeover offers are classified firstly as offerors and offerees, and secondly as to whether or not the takeover was achieved. The study employs the two parameter asset pricing model and...