An Examination of Pricing Anomalies for Australian Stocks (original) (raw)
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Interest rate, size and book-to-market effects in Australian financial firms
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The Fama–French three-factor model (1993) has been extensively used to study the pricing of nonfinancial stocks. This study provides the first examination of the pricing of Australian financial stocks using the Fama–French framework. The four-factor model (market, size, book-to-market and momentum) augmented with the level, slope and curvature of the interest rate term structure is used to examine the pricing of Australian financial stocks. The interest rate factors have not been previously considered for pricing Australian stocks within the Fama–French framework. Consistent with US evidence, we use a system-based estimation to show that the size and book-to-market factors are not priced in the cross section of the equity returns of Australian financial stocks. Momentum and term spread are priced in the equity returns of both financial and nonfinancial stocks. These findings are robust to the inclusion of control variables such as default spread, the inflation rate and a dummy variable for the global financial crisis.
Value at Risk, Market Risk and Trading Activity: CAPM Alternative Model
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The purpose of this research is try to create Capital Asset Pricing Model (CAPM) alternative model at Indonesia Stock Exchange (IDX) that analyze the effect of the investment risk, trading activity and market multiple on stock return on low (IDR5 and IDR10), medium (IDR25), high (IDR50) and all tick size. This analysis focuses in (1) the relationship between return, VaR and market risk (2) the relationship between return, size and liquidity and (3) the relationship between return and PBV. We employ panel data model for data analysis. The research samples are active stocks of 12 sectors and members of LQ45 in 2004-2006 periods. The results of this research that VaR, beta, size, and liquidity positively related to stock return except the PBV. These findings indicate that VaR, market risk and trading activity are positively correlated to stock’s return; however the fundamental performance is not relevant with trading activity at lower price, especially. These results support the previous