Real estate is an important investment asset class for Australian retail and wholesale funds yet there are considerable problems associated with choosing the optimal allocation of real estate in a portfolio. This asset class poses considerable problems for portfolio managers because of reliance...

This article analyzes the impact of movements in the Australian dollar/Japanese yen (AUDJPY) and the Australian dollar/US dollar (AUDUSD) exchange rates on the returns of the Australian equities market. Specifically, this paper investigates the nature of exchange rate exposure across increasing...

This study examines the importance of idiosyncratic volatility in asset pricing for Australian stock returns from January 2002 to December 2010. Inspired by work from the early 1990s which found that portfolios constructed to mimic common risk factors explained significant variations in US stock...