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Aggregate Volatility Risk and the Cross-Section of Stock Returns : Australian Evidence

Mai, Van Anh (Vivian) - 2015

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …

Persistent link: https://www.econbiz.de/10013024559

Asset Tangibility, Industry Representation and the Cross Section of Equity Returns

Docherty, Paul - 2019

Recent theory relates expected returns and covariant risk to the investment decisions of a firm. The irreversible nature of physical assets-in-place results in them being riskier than growth options across certain stages of the business cycle. Using the Australian accounting environment, this...

Persistent link: https://www.econbiz.de/10012906037

Asset Pricing Anomalies and Macroeconomic Risk : Evidence from Australia

Docherty, Paul - 2019

This paper provides a comprehensive examination of whether portfolios formed on capital asset pricing model anomalies capture information related to changes in the investment opportunity set and therefore may be appropriate candidates as state variables within Merton's (1973) ICAPM framework....

Persistent link: https://www.econbiz.de/10012905817

Regulatory Revenues and the Choice of the CAPM : Australia Versus New Zealand

Lally, Martin - 2010

This paper compares the revenues resulting from the Officer model, which is generally used by Australian regulatory bodies, the simplified Brennan-Lally model, which is used by the New Zealand regulatory body, the Sharpe-Lintner-Mossin model, which is widely used in other regulatory regimes, and...

Persistent link: https://www.econbiz.de/10013149167

Which Factors are Priced? An Application of the Fama French Three-Factor Model in Australia

Vo, Duc - 2014

portfolio formation adopted in previous empirical studies in Australia and overseas. Three scenarios are constructed to assess … priced in Australia. However, there is a negative relationship between this factor and a return of a stock which is in … contrast with an expectation of the Fama French three-factor model. As such, a claim from a recent study in Australia that for …

Persistent link: https://www.econbiz.de/10013049048

A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia

Chiah, Mardy - 2015

Recently, Fama and French (2014) document a five-factor model that includes the market and factors related to size, book-to-market, profitability and investment outperforms the three-factor model of Fama and French (1993). Using an extensive sample over the period 1982 to 2013, we investigate...

Persistent link: https://www.econbiz.de/10013029205

A Better Model? An Empirical Investigation of the Fama-French Five-Factor Model in Australia

Chiah, Mardy - 2015

Recently, Fama and French (2014) propose a five-factor model by adding profitability and investment factors to their three-factor model. This model outperforms the three-factor model previously proposed by Fama and French (1993). Using an extensive sample over the 1982 to 2013 period, we...

Persistent link: https://www.econbiz.de/10013030971

The Security Market Plane

Bollen, Bernard - 2009

The relation between market risk and asset returns can be modeled with the Security Market Line (SML), a positive linear relation between expected excess asset returns and the asset's beta. Pettengill et al (1995) make the case that tests of beta must be conditioned upon excess market returns to...

Persistent link: https://www.econbiz.de/10013157902

Capturing the Illiquidity Premium

Foley-Fisher, Nathan - 2020

This paper studies the restructuring of financial intermediation in the United States since the 2007-09 financial crisis. We show that the largest U.S. life insurers have entered private debt markets as banks refocused on commercial banking, against a backdrop of unconventional monetary policies...

Persistent link: https://www.econbiz.de/10012841993

Unemployment Beta and the Cross-Section of Stock Returns : Evidence From Australia

Huynh, Nhan - 2022

This study provides evidence of the significant impacts of unemployment indicators, including the projected unemployment rate and actual unemployment gap, on the cross-sectional stock returns in the Australian market. Utilising the extensive dataset of all listed stocks and unemployment data...

Persistent link: https://www.econbiz.de/10013406088