IDEAS home Printed from https://ideas.repec.org/a/sae/ausman/v1y1976i1p1-32.html
   My bibliography  Save this article

Asset Pricing in the Australian Industrial Equity Market

Author

Listed:
  • Ray Ball

    (University of Queensland)

  • Philip Brown

    (New South Wales)

  • R. R. Officer

    (University of Queensland)

Abstract

The two-moment, mean-variance model of asset pricing is tested against data from the Melbourne stock exchange. The model appears to describe the data quite well, though there are problems in experimental design which are yet to be cleared up. Neither variance nor skewness appears to explain additional price behaviour to that explained by covariance, as is predicted by the two-moment model.

Suggested Citation

  • Ray Ball & Philip Brown & R. R. Officer, 1976. "Asset Pricing in the Australian Industrial Equity Market," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 1-32, April.
    • Handle: RePEc:sae:ausman:v:1:y:1976:i:1:p:1-32
    DOI: 10.1177/031289627600100101
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/031289627600100101
    Download Restriction: no
    File URL: https://libkey.io/10.1177/031289627600100101?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Officer, R. R., 1975. "Seasonality in Australian capital markets : Market efficiency and empirical issues," Journal of Financial Economics, Elsevier, vol. 2(1), pages 29-51, March.
    2. Blume, Marshall E & Friend, Irwin, 1973. "A New Look at the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 28(1), pages 19-33, March.
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    4. Blume, Marshall E, 1970. "Portfolio Theory: A Step Toward Its Practical Application," The Journal of Business, University of Chicago Press, vol. 43(2), pages 152-173, April.
    5. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
    6. Gonedes, Nicholas J., 1973. "Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 407-443, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    2. Paul van Rensburg & Emile Janari, 2008. "Firm-specific characteristics and the cross-section of Australian stock exchange returns," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 193-214, September.
    3. Fernando Rubio, 2004. "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance 0405030, University Library of Munich, Germany.
    4. Robert W. Faff, 1993. "A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market," Australian Journal of Management, Australian School of Business, vol. 17(2), pages 233-258, December.
    5. William L. Beedles & Peter Dodd & R. R. Officer, 1988. "Regularities in Australian Share Returns," Australian Journal of Management, Australian School of Business, vol. 13(1), pages 1-29, June.
    6. Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
    7. William L. Beedles, 1986. "Asymmetry in Australian Equity Returns," Australian Journal of Management, Australian School of Business, vol. 11(1), pages 1-12, June.
    8. Robert Brooks & Robert Faff & Tim Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 413-420.
    9. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    10. Demircioglu, Emre, 2015. "Testing of Capital Assets Pricing Model (CAPM) in Cement Sector & Power Generation and Distribution Sector in Turkey," MPRA Paper 61392, University Library of Munich, Germany.
    11. Anthony Saunders & Richard B. Tress, 1981. "Inflation and Stock Market Returns:Some Australian Evidence," The Economic Record, The Economic Society of Australia, vol. 57(1), pages 58-66, March.
    12. Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu, 2008. "Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM," MPRA Paper 12355, University Library of Munich, Germany.
    13. Philip Gray & Egon Kalotay & Julie McIvor, 1998. "Testing the Multivariate Normality of Australian Stock Returns," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 135-150, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
    2. Asgar Ali & K. N. Badhani, 2021. "Beta-Anomaly: Evidence from the Indian Equity Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 55-78, March.
    3. Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
    4. Adam ZAREMBA, 2015. "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 81-102, September.
    5. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
    6. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
    7. Ana María Olaya, 2002. "Las finanzas en la frontera del conocimiento," Borradores de Investigación 3114, Universidad del Rosario.
    8. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
    9. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    10. Mayanja, Abubaker B. & Legesi, Kenneth, 2007. "Risk and Return on Uganda's stock exchange," MPRA Paper 6407, University Library of Munich, Germany, revised Aug 2007.
    11. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
    12. Robin Maximilian Stetzka & Stefan Winter, 2023. "How rational is gambling?," Journal of Economic Surveys, Wiley Blackwell, vol. 37(4), pages 1432-1488, September.
    13. Dana J. Johnson & Richard E. Bennett & Richard J. Curcio, 1979. "A Note On The Deceptive Nature Of Bayesian Forecasted Betas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 65-69, March.
    14. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    15. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    16. Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
    17. Modigliani, Franco. & Pogue, G. A., 1973. "An introduction to risk and return concepts and evidence," Working papers 646-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    18. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
    19. A. D. Castagna & Z. P. Matolcsy, 1978. "The Relationship Between Accounting Variables and Systematic Risk and the Prediction of Systematic Risk," Australian Journal of Management, Australian School of Business, vol. 3(2), pages 113-126, October.
    20. Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two‐pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 89-104, June.
    21. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:ausman:v:1:y:1976:i:1:p:1-32. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.agsm.edu.au .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.