The Fama-French three-factor model (1993) has been extensively used to study the pricing of nonfinancial stocks. This study provides the first examination of the pricing of Australian financial stocks using the Fama-French framework. The four-factor model (market, size, book-to-market and...

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...

Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the...

Returns to both traditional and risk-managed momentum strategies are non-normal, reducing the efficacy of the Sharpe ratio as an evaluation tool. To account for the higher moments of the return distribution, we evaluate momentum using the framework of myopic loss aversion. Under this framework,...

The level of firm investment, along with firm profitability, has been shown to be empirically powerful asset pricing factors in the US and other markets. The q-factor model of Hou, Xue, and Zhang (2014), and the 5-factor model of Fama and French (2014a), both rely on factors capturing the...

Although few doubt that good internal governance helps firms perform better, the statistical evidence is actually mixed because the positive effects of good corporate governance matters much more so at some times than others. The statistical link is strongest during “flights to quality,”...

Momentum strategies generate significant positive returns over long investment horizons; however these strategies experience infrequent periods of large negative returns. These periods are known as 'momentum crashes'. We demonstrate that the probability of a momentum crash is time-varying,...

Trend extrapolation in financial markets has been well documented, however it is contentious as to which trends will be extrapolated or mean reverted. We examine whether investors are more likely to extrapolate trends that they perceive to be salient by examining an investment strategy that...

In Australia, unlike US and European jurisdictions, the Reserve Bank of Australia discloses its stance on monetary policy via two separate events: the announcement of a monthly target cash rate for overnight loans; and two weeks later, the release of the explanatory minutes of the Board meeting...