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Default risk and equity returns : Australian evidence
Gharghori, Philip; Chan, Howard Wei-hong; Faff, Robert W. - In: Pacific-Basin finance journal 17 (2009) 5, pp. 580-593
We test whether default risk is related to equity returns using the Fama and MacBeth [Fama, E.F., MacBeth, J., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.] regression framework. The proxy we use for default risk is the default probability...
Persistent link: https://www.econbiz.de/10003895398
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Investigating the performance of alternative default-risk models: option-based versus accounting-based approaches
Gharghori, Philip; Chan, Howard; Faff, Robert - In: Australian journal of management 31 (2006) 2, pp. 207-234
Persistent link: https://www.econbiz.de/10003437496
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The relation between R&D intensity and future market returns : does expensing versus capitalization matter?
Chan, Howard Wei-hong; Faff, Robert W.; Gharghori, Philip; … - In: Review of quantitative finance and accounting 29 (2007) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10003600061
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Are the Fama-French factors proxying default risk?
Gharghori, Philip; Chan, Howard; Faff, Robert - In: Australian journal of management 32 (2007) 2, pp. 223-249
Persistent link: https://www.econbiz.de/10003628572
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Are the Fama-French factors proxying news related to GDP growth? : the Australian evidence
Nguyen, Annette; Faff, Robert W.; Gharghori, Philip - In: Review of quantitative finance and accounting 33 (2009) 2, pp. 141-158
Persistent link: https://www.econbiz.de/10003880536
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An examination of conditional asset pricing models in the Australian equities market
Nguyen, Annette; Faff, Robert W.; Gharghori, Philip - In: Applied financial economics letters 3 (2007) 4/6, pp. 307-312
Persistent link: https://www.econbiz.de/10003604997
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New evidence on the relation between stock liquidity and measures of trading activity
Chai, Daniel; Faff, Robert W.; Gharghori, Philip - In: International review of financial analysis 19 (2010) 3, pp. 181-192
Persistent link: https://www.econbiz.de/10008992302
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Pricing innovations in consumption growth : a re-evaluation of the recursive utility model
Xiao, Yuchao; Faff, Robert W.; Gharghori, Philip; Min, … - In: Journal of banking & finance 37 (2013) 11, pp. 4465-4475
Persistent link: https://www.econbiz.de/10010246994
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Liquidity in asset pricing : New Australian evidence using low-frequency data
Chai, Daniel; Faff, Robert W.; Gharghori, Philip - In: Australian journal of management 38 (2013) 2, pp. 375-400
Persistent link: https://www.econbiz.de/10009786613
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Return-based style analysis in Australian funds
Faff, Robert W.; Nguyen, Annette; Ip, Bonnie H. I.; … - In: Multinational finance journal : MF ; quarterly … 16 (2012) 3/4, pp. 155-188
Persistent link: https://www.econbiz.de/10010257550