In this paper we employ a GMM‐based approach to test the restrictions imposed by a two‐factor ‘market and oil’ pricing model when a risk‐free asset is assumed to exist. We examine the Australian market which has several interesting features including self‐sufficiency in relation to...

The fundamental relationship between accounting variables and firm valuation is a recurring theme in capital market research. This paper investigates this relationship within a balance sheet context and highlights the importance of controlling for relevant economic factors. We do this by...