α (“Alpha”) has symbolic importance on the investments side of finance. That is, a fundamental pillar of modern finance theory is the risk-return relation, and traditionally alpha is taken to represent the degree of “mispricing” in asset returns. But, such an interpretation is not...

In this paper, we examine the asset-pricing role of liquidity (as proxied by share turnover) in the context of the Fama and French (1993) three-factor model. Our analysis employs monthly Australian data, covering the sample period from 1990 to 1998. The key finding of our research is that the...

We investigate the impact of scheduled government announcements relating to six different macroeconomic variables on the risk and return of three major US financial markets. Our results suggest that these markets do not respond in any meaningful way, to the act of releasing information by the...

We investigate the unconditional and conditional gold betas of four country-based gold industry portfolios. First, we document the similarity of unconditional gold betas across countries. Second, we find that the factors affecting conditional gold betas are different in the Australian and South...

We propose that covariance (rather than beta) asymmetry provides a superior framework for examining issues related to changing risk premiums. Accordingly, we investigate whether the conditional covariance between stock and market returns is asymmetric in response to good and bad news. Our model...

This paper investigates whether return volatility, trading volume, return asymmetry, business cycles and day-of-the-week are potential determinants of conditional autocorrelation in stock returns. The primary focus is on the role of feedback trading and the interplay of return volatility. We...

We revisit the role of default risk in asset pricing. The detail of our dataset allows us to undertake this analysis on a previously ignored segment of the market - microcap stocks, allegedly vulnerable to default risk. The cross-equation restrictions in our baseline models are rejected, but the...

Rights offerings in Australia provide valuable choices to the issuer in terms of both underwriting and renounceability. We formulate a set of hypotheses from a quality-signalling perspective, affording an analysis of the key interrelations between quality, underwriting status, renounceability,...

This study examines whether individualistic national culture is associated with stock price crash risk (“crash risk”) for a sample of firms from 36 countries over the period of 1990 to 2015. We find robust evidence that firms in more individualistic cultural settings exhibit higher future...

In this paper, we propose a new two-stage method, including Principal Component Analysis and Boosted Regression Tree, to model conditional expected returns. With this technique, we address two potential criticisms on how to capture the true identity of the investors' information set, and how...