Size and book-to-market factors in Australia

Brailsford, Tim, Gaunt, Clive and O'Brien, Michael A. (2012) Size and book-to-market factors in Australia. Australian Journal of Management, 37 2: 261-281. doi:10.1177/0312896211423555


Author Brailsford, Tim
Gaunt, Clive
O'Brien, Michael A.
Title Size and book-to-market factors in Australia
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 0312-8962
1327-2020
Publication date 2012-08
Sub-type Article (original research)
DOI 10.1177/0312896211423555
Volume 37
Issue 2
Start page 261
End page 281
Total pages 21
Place of publication London, United Kingdom
Publisher Sage Publications
Collection year 2013
Language eng
Abstract There is continuing debate in the asset-pricing literature as to the acceptance of the Fama–French three-factor model. While this model has received strong empirical support from tests in the US equity market, tests of the model in the Australian market have yielded inconclusive findings, particularly in respect of the high-minus-low factor. Prior research in Australia has suffered from limited datasets in respect of the accounting variables, and previous results vary with the scope of the dataset employed. Our study provides two advances. Firstly, the study utilizes a purpose-built dataset spanning 25 years and 98% of all listed firms. Secondly, the study employs a more appropriate portfolio construction method than that employed in prior studies. With these advances, the study is more able to test the three-factor model against the capital asset-pricing model (CAPM). The findings support the superiority of the Fama–French model, and for the first time align the research in this area between Australia and the USA.
Keyword Asset pricing
Book-to-market effect
Capital asset-pricing model
Fama-French three-factor model
Size effect
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2013 Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 12 times in Thomson Reuters Web of Science Article | Citations
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