The Australian asset-pricing debate
|dc.identifier.citation||Durand, R. and Limkriangkrai, M. and Chai, D. 2015. The Australian asset-pricing debate. Accounting and Finance.|
© 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.title||The Australian asset-pricing debate|
|dcterms.source.title||Accounting and Finance|
|curtin.department||School of Economics and Finance|
|curtin.accessStatus||Fulltext not available|
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