This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate significant risk-adjusted excess stock returns. Our results for Australian data are opposite to...

Significant portfolio variance biases arise when contrasting multi-period portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy-and-hold weights. Empirical evidence obtained using S&P500 constituents from 2003 to 2011 demonstrates that,...