Outlines previous research on measuring the performance of investment funds, suggesting that data envelopment analysis (DEA) techniques can overcome some of the problems of the capital asset pricing model and give pointers for improvement. Uses DEA to assess the relative performance of 257...

Purpose – The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Design/methodology/approach – Following the Lee and Swaminathan's approach, portfolios on...

Purpose – The purpose of this paper is to provide some insights into the exchange rate exposure of Australian stock returns. Design/methodology/approach – Using a dynamic econometric approach that allows for both asymmetry and time‐varying risk exposures in both the exchange rate variable...