A dynamic investigation into the predictability of Australian industry stock returns

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A dynamic investigation into the predictability of Australian industry stock returns

This thesis involved an empirical investigation of the predictability of Australian industrial stock returns using a dynamic state-space framework. The systematic risks of industrial portfolios were examined in a stochastic market- model. The systematic risks of industry portfolios are found to be s...

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Bibliographic Details
Main Author:	Yao, Juan
Format:	Thesis
Language:	English
Published:	Curtin University 2004
Subjects:	industry returns Australian stock market stock market predictability
Online Access:	http://hdl.handle.net/20.500.11937/1067

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