The Australian asset-pricing debate
| dc.contributor.author | Durand, Robert | |
| dc.contributor.author | Limkriangkrai, M. | |
| dc.contributor.author | Chai, D. | |
| dc.date.accessioned | 2017-01-30T11:15:45Z | |
| dc.date.available | 2017-01-30T11:15:45Z | |
| dc.date.created | 2015-12-10T04:26:11Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Durand, R. and Limkriangkrai, M. and Chai, D. 2015. The Australian asset-pricing debate. Accounting and Finance. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/9927 | |
| dc.identifier.doi | 10.1111/acfi.12097 | |
| dc.description.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). | |
| dc.publisher | Blackwell Publishing | |
| dc.title | The Australian asset-pricing debate | |
| dc.type | Journal Article | |
| dcterms.source.issn | 0810-5391 | |
| dcterms.source.title | Accounting and Finance | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Fulltext not available |
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