Journal ArticleDOI
The impact of share price on seasonality and size anomalies in Australian equity returns
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In this paper, the authors used a seemingly unrelated regression model to estimate the separate effects of firm size and share price on returns to Australian equity portfolios and found that the relation between share price and returns is negative in July and positive in all other months.Citations
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Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket
TL;DR: In this article, the authors extended the 1981-1991 period examined by Halliwell, Heaney and Sawicki (1999) for a further 10 years to 2000 and addressed several limitations and findings of that research.
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An Intimate Portrait of the Individual Investor
TL;DR: This article examined a range of investment decisions and ensuing portfolio performance, and established that they have statistically significant associations with personality traits captured by Costa and McRae's [1992] operationalization of Norman's [1963] ‘Big Five’ (Negative Emotion, Extraversion, Openness to Experience, Agreeableness and Conscientiousness), Bem's [1977] psychological gender traits (Masculinity and Femininity) and Jackson's [1976] personality traits of Preference for Innovation and Risk Taking Propensity.
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An investigation into the role of liquidity in asset pricing: Australian evidence
Howard Chan,Robert W. Faff +1 more
TL;DR: In this paper, a cross-sectional regression framework was employed to explore whether liquidity is priced in an Australian setting, using monthly data over the period 1990 to 1999, and they found that turnover is negatively related to stock returns and its importance persists even after controlling for book-to-market, size, stock beta and momentum.
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The relationship between asset growth and the cross-section of stock returns
Philip Gray,Jessica Johnson +1 more
TL;DR: In this paper, the authors show that an asset-growth effect also exists in the Australian equity market and explicitly test whether asset growth is a priced risk factor using the common two-stage cross-sectional regression methodology.
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A Best Choice Among Asset Pricing Models? The Conditional Capital Asset Pricing Model in Australia
TL;DR: This paper used Australian data to test the conditional capital asset pricing model (Jagannathan and Wang, 1996) and found that the model performs well compared with a number of competing asset pricing models.