This paper provides a comprehensive examination of whether portfolios formed on capital asset pricing model anomalies capture information related to changes in the investment opportunity set and therefore may appropriate candidates as state variables within Merton's (1973) ICAPM framework....

Momentum is a pervasive asset-pricing anomaly that has been shown to exist in a number of markets and asset classes. Three possible explanations for momentum have emerged in the literature; risk, positive autocorrelation and negative cross-serial correlation. Lewellen (2002) adds to this...

In US and European jurisdictions, monetary policy announcements that set a target interest rate for overnight loans are followed promptly by projections materials or statements that explain the deliberation process. In Australia however, these releases are made separately with the announcement...

Unlike acquiring company shareholders in Australian takeovers, but like shareholders in government initial public offerings, shareholders of companies purchasing Australian government assets earn economically and statistically significant positive abnormal returns. However, unlike privatisations...

There has been substantial growth in the incorporation of environmental, social and governance (ESG) issues into investment decisions, and this trend has been motivated by the societal benefits that are achieved when socially responsible firms have access to cheaper capital. While the benefits...

We determine the conditional expected logarithmic (that is, continuously compounded) return on a stock whose price evolves in terms of the Feller diffusion and then use it to demonstrate how one must know the exact probability density that describes a stock's return before one can determine the...

Evidence of a negative relationship between extreme positive returns and future returns has been reported in developed markets; a result that has been attributed to mispricing (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016). This study examines this MAX anomaly across advanced emerging markets,...

The momentum premium is pervasive across international markets and different asset classes; however the drivers of this premium are yet to be established. This paper contributes to the literature by examining the relationship between a leading economic indicator, return dispersion, and the...