Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the...

Given the high correlation between a firm's stock price and market capitalisation, it is possible that the well-documented size anomaly is masking a share-price effect. Using a seemingly unrelated regression model to accommodate contemporaneous correlation between portfolios, we estimate the...

The multivariate normality of stock returns is a crucial assumption in many tests of assets pricing models. While past Australian research has examined the univariate normality of returns, univariate test statistics are unreliable for testing multivariate normality since they ignore the...