This paper explores and tests two multi-factor asset pricing models in an international context. One model focuses only on local risk factors and therefore assumes that the market is completely segmented. The other model focuses only on global risk factors and assumes that the market is fully...

This paper examines whether deviations from a domestic spot-futures relation, as identified through mispricing series in stock index futures, spillover international boundaries. Such spillovers suggest that information from a mispricing series in one market conveys a signal of similar mispricing...

The present study extends the Australian fund performance persistence literature through the use of five performance metrics: raw returns, the Sharpe ratio, the single-factor model and two multifactor models, the Carhart (1997) model and the Gruber (1996) model, in analysis of Australian retail...