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

Nguyen, Annette, Faff, Robert and Gharghori, Philip 2007, An examination of conditional asset pricing models in the Australian equities market, Applied financial economics letters, vol. 3, no. 5, pp. 307-312.

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Title An examination of conditional asset pricing models in the Australian equities market
Author(s) Nguyen, Annette
Faff, Robert
Gharghori, Philip
Journal name Applied financial economics letters
Volume number 3
Issue number 5
Start page 307
End page 312
Publisher Chapman and Hall
Place of publication London, England
Publication date 2007-06-29
ISSN 1744-6554
1744-6546
Summary 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.
Language eng
Field of Research 149999 Economics not elsewhere classified
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2007, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30033852

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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