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Is there a banking risk premium in the US stock market?
Zeng, Liujing; Au Yong, Hue Hwa; Sirimon Treepongkaruna; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10011949651
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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
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Noise Momentum Around the World
Cai, Charlie X. - 2014
We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the overall arbitrage process. We design...
Persistent link: https://www.econbiz.de/10013051028
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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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Asymmetry and time variation in exchange rate exposure : an investigation of Australian stocks returns
Brooks, Robert D.; Di Iorio, Amalia; Faff, Robert W.; … - In: International journal of commerce and management 20 (2010) 4, pp. 276-295
Persistent link: https://www.econbiz.de/10008798811
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The effects of forecast specificity on the asymmetric short-window share market response to management earnings forecasts
Chan, Howard; Faff, Robert W.; Ho, Yee Kee; Ramsay, Alan - In: Accounting research journal 22 (2009) 3, pp. 237-261
Persistent link: https://www.econbiz.de/10003923555
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The influence of time, seasonality and market state on momentum : insights from the Australian stock market
Phua, Victor; Chan, Howard Wei-hong; Faff, Robert W.; … - In: Applied financial economics 20 (2010) 19/21, pp. 1547-1563
Persistent link: https://www.econbiz.de/10009011588
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The effect of intervaling on the foreign exchange exposure of Australian stock returns
Di Iorio, Amalia; Faff, Robert W. - In: Multinational finance journal : MF ; quarterly … 5 (2001) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001697014
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The pricing of foreign exchange risk in the Australian equities market
Di Iorio, Amalia; Faff, Robert W. - In: Pacific-Basin finance journal 10 (2002) 1, pp. 77-95
Persistent link: https://www.econbiz.de/10001655763
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A test of the stability of exchange rate risk evidence from Australian equities market
Di Iorio, Amalia; Faff, Robert W. - In: Global finance journal 12 (2001) 2, pp. 179-203
Persistent link: https://www.econbiz.de/10001708681