The analysis of correlations forms the basis of portfolio diversification and the lower the correlation between two assets, the greater the potential benefit to be obtained by diversification. In the international context , this typically involves the analyses of the correlation between the...

This paper examines whether there is evidence of persistence in the performance of a subset of Australian investment funds, namely, Rollover Funds. Four categories of funds are examined: fixed interest; multi-sector yield; multi-sector balanced; and multi-sector growth. This study extends the...

This paper takes a sample of Australian listed equities of companies which changed their name in the period 1/1/1990 to 31/12/1994. This sample known as the tota sample group. Two other samples were also formed based on whether the name change was major or minor, and whether at the time or...

The estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and the market model for both researchers and practioners. It is well known that a variety of beta estimates can result for the one stock dependeng on various factors such as the...

This paper extends the existing literature into the relationship between beta stability and the length of the estimation period. Specifically of our analysis in the use of powerful new econometrics tests and their application to non-US data, namely, Australian monthly stock returns.

This paper esplores the applicability of ARCH/ GARCH models to Australian financial structure data. In particular we focus on the extent to which the parameters of the models change over time by analysing the data contract. We find the results to vary over time and that simple models such as the...

The returns from international investment involve returns from not only the asset, but also the return from the exchange rate fluctuations. This means that investors from different countries have the potential to earn different returns from the same investment strategy. The change of numeraire...