This study presents the first empirical evidence on the existence of the asset growth effect in the Australian equity market. Specifically, we analyse all Australian listed firms over the period from 1998 to 2008, inclusive, to investigate whether the rate of growth in total assets has...

We provide the first empirical investigation into the impact of Internet Stock Message Board takeover rumors on the price discovery process in the United States equity market. Our investigation involves using an innovative five-stage filtering process, that employs computational linguistics...

It is generally accepted within the extant literature that a size effect exists, whereby smaller firms tend to experience higher rates of return than those of large firms. This small size effect is identified in a number of studies over a variety of equity markets. Despite this, however, no...

In this paper we investigate the profitability of the 52-week high momentum strategy in the Australian equity market over the period 1996-2008. We provide the first examination of the economic significance of the strategy by applying short-sale restrictions and utilizing bid-and-ask prices and...

While the fundamental and technical analysis literatures invest considerable effort in assessing their respective ability to explain share prices, they invariably do so without reference to each other. In this context, we propose an equity valuation model integrating both fundamental and...

We examine the efficacy of exchange queries in assisting to explain anomalous trading behaviour in a timely manner. Most equity markets rely on continuous disclosure rules to motivate corporations to immediately disclose sensitive information that can affect trading. Queries allow exchanges to...

This study analyses daily and intra-day abnormal returns associated with rights issue announcements in the Australian equity market over the period 2000 to 2013. We find significant abnormal returns of -2.59% and -2.50% on the announcement day under the 0/1 market model and a matched control...