Social norms constrain investors from investing in “sin stocks”, affecting the returns and corporate financial policies of such firms (Hong and Kacperczyk, 2009). This paper finds that “Saints” are influenced by social norms. In almost all instances, where an effect on “Sinners” is...

Investors' expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange's volatility index - also known as the quot;investor fear gaugequot;), affects the expected returns of US equities in two ways. Firstly, the VIX is a priced-factor in a five-factor model of...

The effects of trading Level I ADRs in the US OTC market were investigated for 119 firms from Hong Kong, the United Kingdom (UK), Australia, Japan, South Africa, Germany and Brazil during the period February 1992 to April 2001. Since firms that undertake Level I ADR programs do not reconcile...

Can Australian equity returns be modelled by 'home-grown' factors? We examine the indigenous capital asset pricing model, the indigenous Fama-French three-factor model, and extensions to the latter, and find them all wanting. We find evidence of domestic market segmentation in Australia. For the...

Durand "et al." (2006a) argue that the Australian market is both internationally integrated and domestically segmented. They find that the US-based three-factor model captures returns of the largest stocks in Australia (evidence of international integration), but that it is unable to account for...

Tests of asset-pricing models typically form portfolios of stocks (based on criteria such as market capitalization and book-to-market values). The validity of this approach has been debated (see, for example, Berk, 2000). We consider a simple method of testing asset-pricing models using the...

On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After...