The study uses GARCH-M methodology to examine the effect of exchange rate shocks on the volatility of excess returns for the nineteen sectors of the Australian stock market. The data covers the period December 1979 through April 1994. The evidence suggests that news on exchange rates can improve...

Examining UK companies traded on the London Stock Exchange, the evidence reported in this note implies that prior to mid-1989 smaller companies consistently outperformed the market portfolio. Since then, however, the 'size effect' has disappeared.