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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

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

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

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

Volume shocks and stock returns : an alternative test

Zhong, Angel; Chai, Daniel; Li, Bob; Chiah, Mardy - In: Pacific-Basin finance journal 48 (2018), pp. 1-16

Persistent link: https://www.econbiz.de/10012028016

Another look at sources of momentum profits

Chai, Daniel; Chiah, Mardy; Zhong, Angel; Li, Bob - In: International review of economics & finance : IREF 79 (2022), pp. 310-323

Persistent link: https://www.econbiz.de/10013343411

Difference of opinion and the cross-section of equity returns : Australian evidence

Gharghori, Philip; See, Quin; Veeraraghavan, Madhu - In: Pacific-Basin finance journal 19 (2011) 4, pp. 435-446

Persistent link: https://www.econbiz.de/10009271541

A simple test of the FAMA and French model using daily data : Australian evidence

Faff, Robert W. - In: Applied financial economics 14 (2004) 2, pp. 83-92

Persistent link: https://www.econbiz.de/10001909668