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Which model best explains the returns of large Australian stocks?

Chai, Daniel; Chiah, Mardy; Gharghori, Philip - In: Pacific-Basin finance journal 55 (2019), pp. 182-191

Persistent link: https://www.econbiz.de/10012169529

Pricing innovations in consumption growth : a re-evaluation of the recursive utility model

Xiao, Yuchao; Faff, Robert W.; Gharghori, Philip; Min, … - In: Journal of banking & finance 37 (2013) 11, pp. 4465-4475

Persistent link: https://www.econbiz.de/10010246994

Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

Faff, Robert W.; Gharghori, Philip; Nguyen, Annette - In: International review of economics & finance : IREF 29 (2014), pp. 627-638

Persistent link: https://www.econbiz.de/10010432291

Are the Fama-French factors proxying news related to GDP growth? : the Australian evidence

Nguyen, Annette; Faff, Robert W.; Gharghori, Philip - In: Review of quantitative finance and accounting 33 (2009) 2, pp. 141-158

Persistent link: https://www.econbiz.de/10003880536

An examination of conditional asset pricing models in the Australian equities market

Nguyen, Annette; Faff, Robert W.; Gharghori, Philip - In: Applied financial economics letters 3 (2007) 4/6, pp. 307-312

Persistent link: https://www.econbiz.de/10003604997

Are the Fama-French factors proxying default risk?

Gharghori, Philip; Chan, Howard; Faff, Robert - In: Australian journal of management 32 (2007) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10003628572

The financial performance of socially responsible investments : insights from the intertemporal CAPM

Xiao, Yuchao; Faff, Robert W.; Gharghori, Philip; Min, … - In: Journal of business ethics : JOBE 146 (2017) 2, pp. 353-364

Persistent link: https://www.econbiz.de/10011789319

An empirical study of the world price of sustainability

Xiao, Yuchao; Faff, Robert W.; Gharghori, Philip; Lee, … - In: Journal of business ethics : JOBE 114 (2013) 2, pp. 297-310

Persistent link: https://www.econbiz.de/10009780370

Empirical Test on the Liquidity-Adjusted Capital Asset Pricing Model

Vu, Van - 2016

In this study, we examine the effects of systematic liquidity risk on stock returns in the Australian market. We find that liquidity risk, in the form of (i) the co-movement between individual stock liquidity and market liquidity, (ii) the co-movement between stock returns and market liquidity,...

Persistent link: https://www.econbiz.de/10013006769

Empirical tests on the liquidity-adjusted capital asset pricing model

Vu, Van; Chai, Daniel; Do, Viet - In: Pacific-Basin finance journal 35 (2015) 1, pp. 73-89

Persistent link: https://www.econbiz.de/10011538103