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  • The Predictive Performance of Asset Pricing Models: Evidence from the Australian Securities Exchange

    Author(s)
    Bianchi, Robert J
    Drew, Michael E
    Whittaker, Timothy
    Griffith University Author(s)
    Bianchi, Robert
    Drew, Michael E.
    Year published
    2016
    Metadata
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    Abstract
    This paper considers the accuracy (or otherwise) of cost of equity estimates provided by a range of Australian asset pricing models on industry returns. The results suggest that a simple, constant-benchmark approach (fixed excess return of five percent per annum) provides the best forecast for the cost of equity capital for the various industry segments of the Australian Securities Exchange examined across the observation window. Our results from Australia corroborate U.S. findings regarding the disconnect between asset pricing models that provide the best ex-post explanation of asset returns and models that produce superior ...
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    This paper considers the accuracy (or otherwise) of cost of equity estimates provided by a range of Australian asset pricing models on industry returns. The results suggest that a simple, constant-benchmark approach (fixed excess return of five percent per annum) provides the best forecast for the cost of equity capital for the various industry segments of the Australian Securities Exchange examined across the observation window. Our results from Australia corroborate U.S. findings regarding the disconnect between asset pricing models that provide the best ex-post explanation of asset returns and models that produce superior ex-ante predictions of the cost of capital.
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    Journal Title
    Review of Pacific Basin Financial Markets and Policies
    Volume
    19
    Issue
    4
    DOI
    https://doi.org/10.1142/S0219091516500235
    Subject
    Banking, Finance and Investment not elsewhere classified
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/336413
    Collection
    • Journal articles

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