This paper aims to investigate the form of systematic risk of Australian industrial stock returns. We suggest using four stochastic state-space models for the analysis. The stochastic properties of systematic risk are studied by examining four classes of state-space models: random walk model,...

This paper examines the time variation form of the systematic risk measurement, betas, of Australian industry sectors. By using a semi-parametric approach, the variation of the systematic risk measurement, beta, is a combination of one stable parametric component and one varying non-parametric...

The Consumer Sentiment Index (CSI) is a widely monitored economic indicator. The index measures consumer expectations, which contain information about potential future changes in consumer spending. Thus, any change in the dynamics of the sentiment index should contain important signals about...

This paper examines the existence and prevalence of investor herding behaviour in a segmented market setting, the Chinese A and B stock markets. It is the first study to detail the difference in herding behaviour across A and B markets. The results indicate that investors exhibit different...

Survival analysis is used to estimate time-varying probabilities of price reversals using daily data for the Australian All Ordinaries Price Index. Lagged price changes lead to persistence (shortening) in a price run if they are of the same (opposite) sign as the run. An increase in the number...

This paper is the first to present a two-stage peer group benchmarking approach to evaluate the performance of hedge funds. We present different ways of orthogonalizing the peer group benchark and discuss their propperties in general. We propose to orthogonalize the benchmark against all other...