In this performance persistence study, two questions are addressed. First, what is the relationship between past fund returns and future performance? Second, does a 'hot hand' fund selection system deliver economically significant returns to investors? Using a sample of Australian equity...

Prior research has identified the existence of several cross-sectional patterns in equity returns, commonly referred to as effects. This paper empirically tests for the existence of a number of well known effects using data from the Australian equities market. Specifically, we investigate the...

This paper investigates analysts' earnings forecasts for equities listed on the Australian Stock Exchange. Recent research shows that heuristics may influence analysts' decision making (see, Amir and Ganzach 1998), however, most of the evidence is limited to US and European markets. We provide...

This study examines securities price reaction to announcements of rights issues by listed Indian firms during the period 1997-2005. We document a positive but statistically insignificant price reaction to such announcements. The price reaction is significantly more negative for firms with a...

Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994) show that value stocks earn substantially higher returns than growth stocks. Barbee, Mukherji and Raines (1996) and Leledakis and Davidson (2001) show that the ratio of sales-to-price and debt-to-equity are better predictors of...

In this paper we investigate the robustness of the Fama-French multifactor model for equities listed in three European markets. We find evidence of a small firm effect in France and Germany and a big firm effect in the United Kingdom. Also, we do not find any evidence of a value effect for the...

Purpose – Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and...

Purpose –The purpose of this paper is to describe a simple approach available to corporate finance instructors to enhance the lecture delivery through the use of “digital ink” and tablet technology, to increase engagement during the lecture and enhance the classroom experience....

Existing research shows that a strategy based on the 52-week high prices of individual stocks explains momentum and is able to forecast returns. Given that the momentum strategy based on international market indices is also known to be profitable, we investigate the profitability of the 52-week...

In a landmark paper, George and Hwang (2004) show that a stock's 52-week high price largely explains the momentum effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than do momentum strategies. We find that the 52-week high strategy...