Showing 1 - 10 of 157
We extend Vassalou (2003) by conditioning the Fama–French model with the same macroeconomic variables used to construct a GDP factor. The motivation for doing so is to ascertain whether the ability of the GDP-augmented model to explain equity returns is actually due to news about future GDP...
Persistent link: https://www.econbiz.de/10010729756
This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund...
Persistent link: https://www.econbiz.de/10010934073
This article examines the link between macroeconomic variables and equity returns in Australia by testing conditional asset pricing models. We find that conditioning the Fama-French model with a series of macroeconomic variables does not considerably improve its performance. However, we do find...
Persistent link: https://www.econbiz.de/10004988300
In this paper we evaluate the performance of three alternate default-risk models, seeking to find that measure which performs best, using a comprehensive sample drawn from the Australian equities market. The first two models are option-based models and are derived from Merton's (1974) insight...
Persistent link: https://www.econbiz.de/10010769277
In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the...
Persistent link: https://www.econbiz.de/10010769483
The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for...
Persistent link: https://www.econbiz.de/10010989987
We re-evaluate the cross-sectional asset pricing implications of the recursive utility function of Epstein and Zin (1989, 1991), using innovations in future consumption growth in our tests. Our empirical specification helps explain the size, value and momentum effects. Specifically, we find that...
Persistent link: https://www.econbiz.de/10011065697
Persistent link: https://www.econbiz.de/10005808827
The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand...
Persistent link: https://www.econbiz.de/10008494459
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...
Persistent link: https://www.econbiz.de/10008521636