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Explaining mispricing with Fama-French factors : new evidence from the multiscaling approach

In, Francis Haeuck; Kim, Sangbae; Faff, Robert W. - In: Applied financial economics 20 (2010) 4/6, pp. 323-330

This article examines the Capital Asset Pricing Model (CAPM) over different frequencies utilizing a recently developed multiscaling method: wavelet analysis. Our empirical analysis shows that the risk factors are more relevant at the lower frequencies than at the higher frequencies in the...

Persistent link: https://www.econbiz.de/10003963131

New evidence on the relation between stock liquidity and measures of trading activity

Chai, Daniel; Faff, Robert W.; Gharghori, Philip - In: International review of financial analysis 19 (2010) 3, pp. 181-192

Persistent link: https://www.econbiz.de/10008992302

Are firms hedging or speculating? : the relationship between financial derivatives and firm risk

Nguyen, Hoa; Faff, Robert W. - In: Applied financial economics 20 (2010) 10/12, pp. 827-843

Persistent link: https://www.econbiz.de/10009009816

The influence of time, seasonality and market state on momentum : insights from the Australian stock market

Phua, Victor; Chan, Howard Wei-hong; Faff, Robert W.; … - In: Applied financial economics 20 (2010) 19/21, pp. 1547-1563

Persistent link: https://www.econbiz.de/10009011588

Are pairs trading profits robust to trading costs?

Do, Binh; Faff, Robert W. - In: The journal of financial research 35 (2012) 2, pp. 261-287

Persistent link: https://www.econbiz.de/10009575914

Corporate philanthropy : insights from the 2008 Wenchuan Earthquake in China

Gao, Fox; Faff, Robert W.; Navissi, Farshid - In: Pacific-Basin finance journal 20 (2012) 3, pp. 363-377

Persistent link: https://www.econbiz.de/10009532259

Women and risk tolerance in an aging world

Faff, Robert W.; Hallahan, Terrence; McKenzie, Michael D. - In: International journal of accounting and information … 19 (2011) 2, pp. 100-117

Persistent link: https://www.econbiz.de/10009243195

The power of bad : the negativity bias in Australian consumer sentiment announcements on stock returns

Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 35 (2011) 5, pp. 1239-1249

Persistent link: https://www.econbiz.de/10009245239

Performance persistence in hedge funds : Australian evidence

Do, Viet; Faff, Robert W.; Veeraraghavan, Madhu - In: Journal of international financial markets, … 20 (2010) 4, pp. 346-362

Persistent link: https://www.econbiz.de/10009260254

Is default risk priced in Australian equity? : exploring the role of the business cycle

Chan, Howard Wei-hong; Faff, Robert W.; Kofman, Paul - In: Australian journal of management 36 (2011) 2, pp. 217-246

Persistent link: https://www.econbiz.de/10009303253