An examination of conditional asset pricing models in the Australian equities markets

Nguyen, Annette, Faff, Robert and Gharghori, Philip (2007) An examination of conditional asset pricing models in the Australian equities markets. Applied Financial Economics Letters, 3 5: 307-312. doi:10.1080/17446540701222409


Author Nguyen, Annette
Faff, Robert
Gharghori, Philip
Title An examination of conditional asset pricing models in the Australian equities markets
Journal name Applied Financial Economics Letters   Check publisher's open access policy
ISSN 1744-6546
1744-6554
Publication date 2007-01-01
Sub-type Article (original research)
DOI 10.1080/17446540701222409
Open Access Status
Volume 3
Issue 5
Start page 307
End page 312
Total pages 6
Place of publication Abingdon, Oxon, United Kingdom
Publisher Routledge
Language eng
Abstract This article examines the link between macroeconomic variables and equity returns in Australia by testing conditional asset pricing models. We find that conditioning the Fama-French model with a series of macroeconomic variables does not considerably improve its performance. However, we do find that the Fama-French factors, SMB and HML, retain their ability to explain equity returns even after the model is conditioned on macroeconomic variables. Our findings suggest that investors do not adjust their risk premiums according to the changes in the macroeconomic variables we employ.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Fri, 04 Mar 2011, 22:15:41 EST by Karen Morgan on behalf of UQ Business School