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  • A test of the fama-french three factor model in the Australian equity market

    Author(s)
    E. Drew, Michael
    Veeraraghavan, Madhu
    Griffith University Author(s)
    Veeraraghavan, Madhu
    Drew, Michael E.
    Year published
    2002
    Metadata
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    Abstract
    Studies that have investigated the cross-section of average returns on common stocks in the United States have found evidence that factors related to firm size (market equity) and style (book equity to market equity) help explain the cross-section of average stock returns. This paper tests the explanatory power of such factors in Australia. Further, we also investigate the claim that the size and style effect is the result of seasonal phenomena. We find general support for the three-factor model of Fama and French (1996). We also reject the claim that these effects are exclusively a seasonal phenomenon.Studies that have investigated the cross-section of average returns on common stocks in the United States have found evidence that factors related to firm size (market equity) and style (book equity to market equity) help explain the cross-section of average stock returns. This paper tests the explanatory power of such factors in Australia. Further, we also investigate the claim that the size and style effect is the result of seasonal phenomena. We find general support for the three-factor model of Fama and French (1996). We also reject the claim that these effects are exclusively a seasonal phenomenon.
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    Journal Title
    Accounting Accountability and Performance
    Volume
    8
    Issue
    1
    Publisher URI
    http://search.informit.com.au/documentSummary;dn=071935623050941;res=IELBUS
    Subject
    Applied Economics
    Accounting, Auditing and Accountability
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/7044
    Collection
    • Journal articles

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