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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

A critical application of the Gibbons (1982) multivariate test of the CAPM : Australian equity returns 1958 - 1987

Faff, Robert W. - 1990

Persistent link: https://www.econbiz.de/10000849358

Is there a banking risk premium in the US stock market?

Zeng, Liujing; Au Yong, Hue Hwa; Sirimon Treepongkaruna; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10011949651

Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

Faff, Robert W.; Gharghori, Philip; Nguyen, Annette - In: International review of economics & finance : IREF 29 (2014), pp. 627-638

Persistent link: https://www.econbiz.de/10010432291

A test of the stability of exchange rate risk evidence from Australian equities market

Di Iorio, Amalia; Faff, Robert W. - In: Global finance journal 12 (2001) 2, pp. 179-203

Persistent link: https://www.econbiz.de/10001708681

New evidence on the impact of financial leverage on beta risk : a time-series approach

Faff, Robert W.; Brooks, Robert; Kee, Ho Yew - In: The North American journal of economics and finance : a … 13 (2002) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10001716383