The empirical literature suggests that several different variables are potentially important in explaining the return on gold stocks beyond that of a market factor. The primary aim of this paper is to examine the empirical performance of a specification which incorporates into one multifactor...

This article provides further insights into the properties of momentum trading strategies using information from the Australian market. Based on a methodology that avoids the look-ahead bias of many momentum studies that employ monthly data, we confirm the existence of a momentum effect in...

Focussing on earnings-related rather than different classes of corporate announcements as in Chae (2005), we examine trading volume behaviour and the role played by informed and uninformed investors around routine and nonroutine announcements. Prior to preliminary final earnings announcements,...

The focus of this study is the effect of volatility estimates in the valuation of underwritten rights issues. Previous studies on the valuation of rights issues found that underwriters overpriced the risk of underwriting that they provide to companies for rights issues. This paper, in its...

Although many studies have found a non-trivial incidence of beta instability for individual common stocks, there exists controversy over the beta stability characteristics to expect in portfolios formed from these stocks. The extent is examined to which portfolio formation can diversify away...

This article focuses on the performance of Australian hedge funds. Using a survivorship bias free sample, we investigate whether Australian hedge fund managers have the ability to outguess the market. Specifically, we test the market timing and volatility timing skills of fund managers. Our...

The current study contributes to the empirical literature aimed at testing the Fama and French three-factor model, using daily Australian data. In general, the evidence found is quite favourable to the model based on formal asset pricing tests. However, when the estimated risk premia are taken...

Recent studies have documented the growing economic and financial integration between countries. Among other things, this has led to the argument that greater integration results in higher bilateral correlations between returns on national stock markets. This study endeavours to link the two...

In this paper, an alternative method of estimating the systematic risk for Canadian stocks is presented and empirically investigated. The method proposed is applied to a set of data impacted by censoring - the presence of zero returns, which occurs in extreme cases of thin trading. The approach...

In the context of international funds, investigations have been made of a range of performance models including both domestic and international market index benchmarks and distinguishing selectivity and timing performance. A sample of Australian international equity trusts are examined over the...