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, doi: 10.1080/17446540701222409. Attached Files Name Description MIMEType Size Downloads Title An examination of conditional asset pricing models in the Australian equities market Author(s) Nguyen, Annette orcid.org/0000-0003-1272-9141 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 DOI 10.1080/17446540701222409 Field of Research 150205 Investment and Risk Management Socio Economic Objective 900102 Investment Services (excl. Superannuation) 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 Collections: Faculty of Business and Law School of Accounting, Economics and Finance Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Thu, 14 Apr 2011, 12:13:44 EST Thu, 14 Apr 2011, 12:14:38 EST Mon, 16 Jun 2014, 17:44:11 EST Thu, 14 Aug 2014, 11:21:52 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 2 times in Scopus Search Google Scholar Access Statistics: 640 Abstract Views, 0 File Downloads  -  Detailed Statistics Created: Thu, 14 Apr 2011, 12:13:14 EST by Leanne Swaneveld