The Australian asset-pricing debate

Robert B Durand, Manapon Limkriangkrai, Daniel Chai

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)

Abstract

Utilising a comprehensive data set for Australian firms, we examine a range of competing asset-pricing models, including the four- and five-factor models where the equity-risk premium is augmented by size, value, momentum and liquidity premia, and find that none of the models tested appears to adequately explain the cross section of Australian returns. A model accounting for Australia's integration with the US equity market appears to be the best of the competing models we study. Our argument that a model recognising Australia's integration with the USA is supported when we apply the portfolio and factor construction methodology suggested by Brailsford et al. (2012a,b).
Original languageEnglish
Pages (from-to)393-421
Number of pages29
JournalAccounting & Finance
Volume56
Issue number2
DOIs
Publication statusPublished - 1 Jun 2016

Keywords

  • Asset-pricing models
  • Fama-french-carhart model
  • International integration
  • Liquidity
  • Momentum

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