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Disentangling Size from Momentum in Australian Stock Returns

Brailsford, Tim; O'Brien, Michael A. - In: Australian Journal of Management 32 (2008) 3, pp. 463-484

Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines … the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for … larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is …

Persistent link: https://www.econbiz.de/10011135819

Size, Book to Market and Momentum Effects in the Australian Stock Market

Kassimatis, Konstantinos - In: Australian Journal of Management 33 (2008) 1, pp. 145-168

We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in … significance of the three additional factors becomes marginal, which suggests that size, book-to-market and momentum may proxy for …

Persistent link: https://www.econbiz.de/10010769444

Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market

Chang, Chiao-Yi - In: Journal of Economics and Finance 37 (2013) 2, pp. 253-273

In this paper, we examine two different investing attitudes, being conservative sentiment which mitigates the momentum … close near a previous peak level, the impact of the index on momentum profits can assist in identifying such sentiments. In … this study, we investigate the price and price-size momentum strategies in Taiwan of short formation periods of less than a …

Persistent link: https://www.econbiz.de/10010634394

Firm characteristics, distress risk and average stock returns

Simlai, Prodosh - In: Accounting Research Journal 27 (2014), pp. 101-123

of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of …. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross …-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research …

Persistent link: https://www.econbiz.de/10010932879

Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)

Annaert, Jan; Mensah, Lord - In: Explorations in Economic History 52 (2014) C, pp. 22-43

market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts …. Momentum is strongly present in the entire data set as well as in subsamples based on size. We also find evidence for a weak …

Persistent link: https://www.econbiz.de/10011042812

IDIOSYNCRATIC RISK AND AUSTRALIAN EQUITY RETURNS

Dempsey, Mike; Drew, Michael E.; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2001

In this paper we investigate the relationship between portfolio returns and idiosyncratic risk for Australian stocks. We report that the portfolio with highest idiosyncratic volatility generates an average annual return of over 45%. We observe additionally that the outcome is consistent with an...

Persistent link: https://www.econbiz.de/10005766344

ASSET PRICING IN THE ASIAN REGION

Drew, Michael E.; Veeraraghavan, Madhu - School of Economics and Finance, Business School - 2001

In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner? Second, do small firms and high book-to-market equity firms carry a risk premia? Third, can competing hypotheses...

Persistent link: https://www.econbiz.de/10005766369

Asymmetric Multivariate Stochastic Volatility

Asai, Manabu; McAleer, Michael - Departament d'Economia Aplicada, Facultat de Ciències … - 2005

This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely: (i) SV with leverage (SV-L) model, which is based on the negative correlation between the innovations in the returns and volatility; and (ii) SV with leverage and size effect (SV-LSE)...

Persistent link: https://www.econbiz.de/10005773040

Asset Pricing Models with and without Consumption: An Empirical Evaluation

Hardouvelis, Gikas A; Kim, Dongcheol - C.E.P.R. Discussion Papers - 1995

The paper evaluates the ability of asset pricing models that do not use consumption data, and models that use consumption data as a proxy for true consumption, to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. Although some parameter...

Persistent link: https://www.econbiz.de/10005791905

Common stock returns in the pre-WWI Berlin Stock Exchange.

Fohlin, Caroline; Reinhold, Steffen - In: Cliometrica, Journal of Historical Economics and … 4 (2010) 1, pp. 75-96

efficiency, a momentum portfolio earns returns not different from zero, on average. …

Persistent link: https://www.econbiz.de/10008491692