The Australian asset-pricing debate
© 2015 AFAANZ. Utilising a comprehensive data set for Australian firms, we examine a range of competing asset-pricing models, including the four- and five-factor models where the equity-risk premium is augmented by size, value, momentum and liquidity premia, and find that none of the models tested a...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Blackwell Publishing
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/9927 |
| _version_ | 1848746090974674944 |
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| author | Durand, Robert Limkriangkrai, M. Chai, D. |
| author_facet | Durand, Robert Limkriangkrai, M. Chai, D. |
| author_sort | Durand, Robert |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | © 2015 AFAANZ. Utilising a comprehensive data set for Australian firms, we examine a range of competing asset-pricing models, including the four- and five-factor models where the equity-risk premium is augmented by size, value, momentum and liquidity premia, and find that none of the models tested appears to adequately explain the cross section of Australian returns. A model accounting for Australia's integration with the US equity market appears to be the best of the competing models we study. Our argument that a model recognising Australia's integration with the USA is supported when we apply the portfolio and factor construction methodology suggested by Brailsford et al. (2012a,b). |
| first_indexed | 2025-11-14T06:27:44Z |
| format | Journal Article |
| id | curtin-20.500.11937-9927 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:27:44Z |
| publishDate | 2015 |
| publisher | Blackwell Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-99272017-09-13T14:52:04Z The Australian asset-pricing debate Durand, Robert Limkriangkrai, M. Chai, D. © 2015 AFAANZ. Utilising a comprehensive data set for Australian firms, we examine a range of competing asset-pricing models, including the four- and five-factor models where the equity-risk premium is augmented by size, value, momentum and liquidity premia, and find that none of the models tested appears to adequately explain the cross section of Australian returns. A model accounting for Australia's integration with the US equity market appears to be the best of the competing models we study. Our argument that a model recognising Australia's integration with the USA is supported when we apply the portfolio and factor construction methodology suggested by Brailsford et al. (2012a,b). 2015 Journal Article http://hdl.handle.net/20.500.11937/9927 10.1111/acfi.12097 Blackwell Publishing restricted |
| spellingShingle | Durand, Robert Limkriangkrai, M. Chai, D. The Australian asset-pricing debate |
| title | The Australian asset-pricing debate |
| title_full | The Australian asset-pricing debate |
| title_fullStr | The Australian asset-pricing debate |
| title_full_unstemmed | The Australian asset-pricing debate |
| title_short | The Australian asset-pricing debate |
| title_sort | australian asset-pricing debate |
| url | http://hdl.handle.net/20.500.11937/9927 |