"In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return so long as the persistence of the log...

This study examines whether the magnitude of post-earnings-announcement drift is related to the risk faced by arbitrageurs, who may view the anomaly as a trading opportunity. Consistent with this hypothesis, the magnitude of the drift is strongly related to the arbitrage risk measure developed...

We show that the vast majority of investors ignore value-relevant accruals information when it is first released, but that investors who initiate trades of at least 5,000 shares tend to transact in the proper direction. These investors trade on accruals information only when the...

This study considers the behaviour of the size, price earnings and book value anomalies in smaller firms. It does so by first separately, and then simultaneously, examining the effect of all three firm variables in the Australian stock market, where large firms are no bigger than the smaller...

This paper provides further evidence on short-term seasonals in returns on equity and fixed interest securities and futures on fixed interest securities in the Australian market. The significant result is that daily seasonals are found infixed interest securities and are qualitatively the same...