Anomalies, risk adjustment and seasonality: Australian evidence

    Research output: Contribution to journalArticleResearchpeer-review

    13 Citations (Scopus)

    Abstract

    On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After adjusting for exposure to risk, convincing evidence only remains for the size premium. An analysis of seasonality shows that, rather than being consistent throughout the year, anomaly returns are concentrated in a handful of months. We provide and test preliminary explanations of the observed seasonality in these well-known anomalies.
    Original languageEnglish
    Pages (from-to)207 - 218
    Number of pages12
    JournalInternational Review of Financial Analysis
    Volume35
    DOIs
    Publication statusPublished - 2014

    Cite this

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    title = "Anomalies, risk adjustment and seasonality: Australian evidence",
    abstract = "On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After adjusting for exposure to risk, convincing evidence only remains for the size premium. An analysis of seasonality shows that, rather than being consistent throughout the year, anomaly returns are concentrated in a handful of months. We provide and test preliminary explanations of the observed seasonality in these well-known anomalies.",
    author = "Anqi Zhong and Manapon Limkriangkrai and Gray, {Philip Keith}",
    year = "2014",
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    volume = "35",
    pages = "207 -- 218",
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    Anomalies, risk adjustment and seasonality: Australian evidence. / Zhong, Anqi; Limkriangkrai, Manapon; Gray, Philip Keith.

    In: International Review of Financial Analysis, Vol. 35, 2014, p. 207 - 218.

    Research output: Contribution to journalArticleResearchpeer-review

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    AU - Zhong, Anqi

    AU - Limkriangkrai, Manapon

    AU - Gray, Philip Keith

    PY - 2014

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    N2 - On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After adjusting for exposure to risk, convincing evidence only remains for the size premium. An analysis of seasonality shows that, rather than being consistent throughout the year, anomaly returns are concentrated in a handful of months. We provide and test preliminary explanations of the observed seasonality in these well-known anomalies.

    AB - On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After adjusting for exposure to risk, convincing evidence only remains for the size premium. An analysis of seasonality shows that, rather than being consistent throughout the year, anomaly returns are concentrated in a handful of months. We provide and test preliminary explanations of the observed seasonality in these well-known anomalies.

    U2 - 10.1016/j.irfa.2014.09.004

    DO - 10.1016/j.irfa.2014.09.004

    M3 - Article

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    SP - 207

    EP - 218

    JO - International Review of Financial Analysis

    JF - International Review of Financial Analysis

    SN - 1057-5219

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