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dc.contributor.authorLi, Bin
dc.date.accessioned2017-05-03T15:49:26Z
dc.date.available2017-05-03T15:49:26Z
dc.date.issued2010
dc.date.modified2010-10-26T07:15:19Z
dc.identifier.issn14502887
dc.identifier.urihttp://hdl.handle.net/10072/34570
dc.description.abstractThis paper studies the empirical performance of a linearised version of the classic CCAPM in the Australian market. The studies of Faff and Oliver (1998) and Faff (1998) are extended by employing more recent data and utilising 25 size/BM portfolios as well as industry portfolios. By comparison, the CAPM and the Fama-French three-factor model are also considered. There is evidence that the market factor, the size and value factors can explain the time-series but not the cross-sectional variation in portfolio returns. By contrast, though the CCAPM is inferior to the CAPM and the Fama-French three-factor model in the time-series regressions, the restricted estimation results show that there exists a statistically positive estimate of the market price of consumption risk, which implies that an asset's expected return rises with its consumption risk. Using the lagged portfolio returns, the CCAPM is generally not rejected for both the industry portfolios and the 25 size/BM portfolios. This supports a linear equality between reward and risk implied by the CCAPM.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent270146 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherEuropean Journals
dc.publisher.placeAustria
dc.publisher.urihttp://www.eurojournals.com/irjfe_50_03.pdf
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom26
dc.relation.ispartofpageto44
dc.relation.ispartofissue50
dc.relation.ispartofjournalInternational Research Journal of Finance and Economics
dc.relation.ispartofvolume2010
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3802
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350202
dc.titleConsumption and stock returns in Australia: A revisit
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2010 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2010
gro.hasfulltextFull Text
gro.griffith.authorLi, Bin


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