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dc.contributor.advisorBornholt, Graham
dc.contributor.authorGharaibeh, Omar Khlaif
dc.date.accessioned2018-01-23T02:23:59Z
dc.date.available2018-01-23T02:23:59Z
dc.date.issued2014
dc.identifier.doi10.25904/1912/714
dc.identifier.urihttp://hdl.handle.net/10072/365919
dc.description.abstractIndustry-level equity research is a relatively small but rapidly growing area of interest to finance academics. Costs of equity estimation as well as investigations into various anomalies such as the momentum, contrarian, value and size effects have mostly focused on individual stock returns rather than industry returns. Using a sample of U.S. industry returns, this thesis investigates two broad areas: industry cost of equity estimation and aspects of industry return predictability. This thesis presents three empirical chapters that cover industry cost of equity estimation, an examination of the long-term return reversal of industry returns, and finally research into the existence of value effects at the industry level. Previous research on industries shows that the Fama-French three-factor model and the Cahart four-factor model do not produce significantly better cost of equity (CE) estimates than those produced by the Capital Asset Pricing Model (CAPM). The first empirical study investigates the bias of the standard CAPM approach for each industry separately, and examines the effectiveness of a number of alternative beta estimators in producing CE estimates. The alternative beta estimators are a Blume-adjusted beta and a range of constant betas. CE estimates are judged on the basis of how well they predict the industry’s expected return (as proxied by average annual return over the next five or eight years). Performance evaluations are based on mean absolute forecast error (MAE).
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane
dc.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
dc.subject.keywordsIndustry-level equity research
dc.subject.keywordsCosts of equity
dc.subject.keywordsCapital Asset Pricing Model (CAPM)
dc.subject.keywordsFama-French three-factor model
dc.subject.keywordsCahart four-factor model
dc.titleEssays in Industry Cost of Equity and Return Dynamics
dc.typeGriffith thesis
gro.facultyGriffith Business School
gro.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
gro.hasfulltextFull Text
dc.contributor.otheradvisorMalin, Mirela
dc.rights.accessRightsPublic
gro.identifier.gurtIDgu1417572958574
gro.source.ADTshelfnoADT0
gro.source.GURTshelfnoGURT
gro.thesis.degreelevelThesis (PhD Doctorate)
gro.thesis.degreeprogramDoctor of Philosophy (PhD)
gro.departmentGriffith Business School
gro.griffith.authorGharaibeh, Omar


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