Size and B/M effects in Australian share markets

Halliwell, Jason. (1996). Size and B/M effects in Australian share markets Honours Thesis, School of Business, The University of Queensland.

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Author Halliwell, Jason.
Thesis Title Size and B/M effects in Australian share markets
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1996
Thesis type Honours Thesis
Total pages 104
Language eng
Subjects 14 Economics
Formatted abstract
This thesis examines the role of firm size and the book-to-market (B/M) ratio in explaining expected stock returns. It has two sections. The first employs a cross-sectional model to determine whether size and B/M ratio were associated with excess returns in Australia over the period January 1986 to June 1992. This section shows that there is a positive linear relationship between returns and the B/M ratio of the firm. It also finds a negative, though non-linear, relationship between returns and firm size.

The second section of the thesis uses a sample drawn from January 1981 to December 1991 to investigate whether the excess returns earned by small firms and firms with high B/M ratios can be regarded as compensation for non-beta risks associated with these firms. Contrary to the results found by Fama and French (1993), there is little evidence that this is the case.

In both sections, the results show that if delisted firms had been removed from the database (as is done on the US COMPUSTAT database), the observed returns for small firms would have been inflated and risks specific to small firms would appear to have a greater role in explaining those excess returns.

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Created: Wed, 27 Oct 2010, 13:44:12 EST by Ning Jing on behalf of Social Sciences and Humanities Library Service