Australian capital markets, being relatively “thinâ€, present the researcher with a potentially large “errors in the variables†problem. The standard formulation of the problem is inappropriate for estimating securities' systematic risks. The unusual feature in this context is...

The Statex-Actuaries Daily Accumulation Index is the only index for Australian equity markets which incorporates dividends, has daily observations, and has a long sample period. It is thus of considerable interest to researchers in finance who need to work with daily data. Unfortunately, a...

A version of the Black and Scholes dividend yield experiment is conducted, with a view to determining whether there exists a preference for dividends versus capital gains. Using data from the 1960s the experiment reveals a relatively large relationship between dividend yields and risk-adjusted...

In reply to Graham, Johnson and Schnabel (1977), we point out that they have raised a relatively difficult question in scientific method. Provided our earlier work is accepted as operating in the context of the two-period model, we reassert that it revealed no anomalous evidence.

The proposed tax on economic rents earned from Australian resources investments is examined from the viewpoint of the economist's neutrality criterion. Proposed by Garnaut and Clunies-Ross (1975, 1977), the Resources Rent Tax is alleged to be neutral in that it is alleged not to inhibit or...

Historical mean returns and risk measures are presented for four classes of assets, in both nominal and inflation-adjusted for M. Over the period 1974–85, Australian stocks and property earner appreciably more than inflation, whereas Government securities earned a zero or very low real...

The accounting literature has traditionally focused on firm-level studies to examine the capital market implications of earnings and other accounting variables. We first develop the arguments for studying capital market implications at the aggregate level as well. A central issue is that...