We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the...

In August 1976 the then Federal Treasurer foreshadowed the incorporation in the Income Tax Assessment Act, 1936 of a severely modified form of the Mathews Committee's (1975) recommendations on trading stock. This paper documents the existence of substantial “tax-free†capital gains to...

A ‘price reversal’ test of the market impact of the abolition of the Trading Stock Valuation Adjustment (TSVA) is performed. The data are consistent with a price reversal having occurred under some experimental conditions.

The study examines the empirical validity of cointegration and causality between the two dominating Indian stock markets: the Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE). The daily closing values of the BSE Sensex and the NSE Nifty indices are retrieved from the PROWESS...

In this article, we examine the relationship between oil price shocks and stock market behaviour using market index data for 15 sample countries. The sample countries are classified into four categories, based on their economic strength and oil exporting/importing status, to verify if the...

In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999–2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that...

Efficient Market Hypothesis (EMH) has attracted a considerable number of studies in empirical finance, particularly in determining the market efficiency of an emerging financial market. Conflicting and inconclusive outcomes have been generated by various existing studies in EMH. In addition,...

This investigation tests the Efficient Market Hypothesis (EMH) in the National Football League (NFL) wagering market from 2002 to 2009. The current study examines simple betting strategies tested previously in the NFL and other sports leagues as well as whether there is a bias in games after a...

This study uses a unique data set and valuation method to quantify returns to teams in baseball’s high-stakes, high-risk amateur draft. Thanks to teams’ monopsony power over draftees and low-seniority players, payoffs on successful picks far outweigh losses on unsuccessful ones:...

A deluge of tests have been conducted on asset pricing models in literature, more so on the Capital Asset Pricing Model (CAPM), to ascertain their validity, efficiency and efficacy in different markets in explaining asset prices. Such tests have been either individual in nature wherein any one...