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Unconstrained estimates of the equity risk premium

Fitzgerald, Tristan; Gray, Stephen; Hall, Jason; … - In: Review of accounting studies 18 (2013) 2, pp. 560-639

Persistent link: https://www.econbiz.de/10009767175

Impact of sector versus security choice on equity portfolios

Hall, Jason; McVicar, Ben - In: Applied financial economics 23 (2013) 10/12, pp. 991-1004

Persistent link: https://www.econbiz.de/10009772202

Asset market linkages : evidence from financial, commodity and real estate assets

Kam Fong Chan; Sirimon Treepongkaruna; Brooks, Robert; … - In: Journal of banking & finance 35 (2011) 6, pp. 1415-1426

Persistent link: https://www.econbiz.de/10009244977

Asset Market Linkages : Evidence from Financial, Commodity and Real Estate Assets

Chan, Kam Fong - 2011

We use a general Markov switching model to examine the relationships between returns over three different asset classes: financial assets (U.S. stocks and Treasury bonds), commodities (oil and gold) and real estate assets (U.S. Case-Shiller index). We confirm the existence of two distinct...

Persistent link: https://www.econbiz.de/10013131860

Forecasting stock market volatility : further international evidence

Balaban, Ercan; Bayar, Asli; Faff, Robert W. - In: The European journal of finance 12 (2006) 2, pp. 171-188

Persistent link: https://www.econbiz.de/10003305479

Corporate sustainability performance and idiosyncratic risk : a global perspective

Lee, Darren D.; Faff, Robert W. - In: The financial review : the official publication of the … 44 (2009) 2, pp. 213-237

Persistent link: https://www.econbiz.de/10003850779

Testing the integration of the US and Chinese stock markets in a Fama-French framework

Brooks, Robert; Di Iorio, Amalia; Faff, Robert W.; … - In: Journal of economic integration 24 (2009) 3, pp. 435-454

Persistent link: https://www.econbiz.de/10003883045

The equity and efficiency of the Australian share market with respect to director trading

Uylangco, Katherine; Easton, Steve; Faff, Robert W. - In: Accounting research journal 23 (2010) 1, pp. 5-19

Persistent link: https://www.econbiz.de/10008648898

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

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