Show simple item record

dc.contributor.authorDurand, Robert
dc.contributor.authorLimkriangkrai, M.
dc.contributor.authorChai, D.
dc.identifier.citationDurand, 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.publisherBlackwell Publishing
dc.titleThe Australian asset-pricing debate
dc.typeJournal Article
dcterms.source.titleAccounting and Finance
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available

Files in this item


There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record