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Asset Pricing in the Australian Industrial Equity Market: Comment

Author

Listed:
  • R. E. Graham

    (The Hew South Wales Institute of Technology.)

  • L. W. Johnson

    (Macquarie University.)

  • J. Schnabel

    (The Hew South Wales Institute of Technology.)

Abstract

Collinearity in the data set used by Ball, Brown and Officer, in their study of the asset pricing model in the Australian equity market, virtually guarantees the results that they obtain. This applies to their tests of the linearity of risk-return relationships and to their tests of the effects of securities' variances.

Suggested Citation

  • R. E. Graham & L. W. Johnson & J. Schnabel, 1977. "Asset Pricing in the Australian Industrial Equity Market: Comment," Australian Journal of Management, Australian School of Business, vol. 2(2), pages 191-194, October.
    • Handle: RePEc:sae:ausman:v:2:y:1977:i:2:p:191-194
    DOI: 10.1177/031289627700200208
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