Using an extensive Australian sample, we explore two related issues in the context of a default risk asset-pricing factor (DEF) over the business cycle: whether a DEF can explain the size premium in the three-factor Fama–French (FF) model; and whether a DEF has a separate role itself in a...

We test whether default risk is related to equity returns using the Fama and MacBeth [Fama, E.F., MacBeth, J., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.] regression framework. The proxy we use for default risk is the default probability...

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,...