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    The Australian asset-pricing debate

    Access Status
    Fulltext not available
    Authors
    Durand, Robert
    Limkriangkrai, M.
    Chai, D.
    Date
    2015
    Type
    Journal Article
    
    Metadata
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    Citation
    Durand, R. and Limkriangkrai, M. and Chai, D. 2015. The Australian asset-pricing debate. Accounting and Finance.
    Source Title
    Accounting and Finance
    DOI
    10.1111/acfi.12097
    ISSN
    0810-5391
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/9927
    Collection
    • Curtin Research Publications
    Abstract

    © 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).

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