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Trading volume and information asymmetry : routine versus nonroutine earnings announcements in Australia
Mahipala, Thusitha; Chan, Howard Wei-hong; Faff, Robert W. - In: Applied financial economics 19 (2009) 19/21, pp. 1737-1752
Focussing on earnings-related rather than different classes of corporate announcements as in Chae (2005), we examine trading volume behaviour and the role played by informed and uninformed investors around routine and nonroutine announcements. Prior to preliminary final earnings announcements,...
Persistent link: https://www.econbiz.de/10003904322
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Research design issues in the estimation of beta
Brailsford, Timothy J.; Faff, Robert W.; Oliver, Barry R. - 1997
Persistent link: https://www.econbiz.de/10000963237
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A critical application of the Gibbons (1982) multivariate test of the CAPM : Australian equity returns 1958 - 1987
Faff, Robert W. - 1990
Persistent link: https://www.econbiz.de/10000849358
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A test of the intertemporal CAPM in the Australian equity market
Faff, Robert W.; Chan, Howard Wei-hong - In: Journal of international financial markets, … 8 (1998) 2, pp. 175-188
Persistent link: https://www.econbiz.de/10001402078
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The empirical reletionship between aggregate consumption and security prices in Australia
Faff, Robert W. - In: Pacific-Basin finance journal 6 (1998) 1/2, pp. 213-224
Persistent link: https://www.econbiz.de/10001375769
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A multivariate test of an equilibrium APT with time varying risk premia in the Australian equity market
Faff, Robert W. - In: Australian journal of management 17 (1992) 2, pp. 233-258
Persistent link: https://www.econbiz.de/10001157623
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Further evidence on the relationship between beta stability and the length of the estimation period
Faff, Robert W. - In: Advances in investment analysis and portfolio … 4 (1997), pp. 95-111
Persistent link: https://www.econbiz.de/10001229799
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Financial deregulation and relative risk of Australian industry
Brooks, Robert - In: Australian economic papers 36 (1997) 69, pp. 308-320
Persistent link: https://www.econbiz.de/10001239138
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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
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Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
Faff, Robert W.; Gharghori, Philip; Nguyen, Annette - In: International review of economics & finance : IREF 29 (2014), pp. 627-638
Persistent link: https://www.econbiz.de/10010432291