Asset Pricing in the Australian Industrial Equity Market
- 1 April 1976
- journal article
- research article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 1 (1), 1-32
- https://doi.org/10.1177/031289627600100101
Abstract
The two-moment, mean-variance model of asset pricing is tested against data from the Melbourne stock exchange. The model appears to describe the data quite well, though there are problems in experimental design which are yet to be cleared up. Neither variance nor skewness appears to explain additional price behaviour to that explained by covariance, as is predicted by the two-moment model.Keywords
This publication has 12 references indexed in Scilit:
- Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic RiskJournal of Financial and Quantitative Analysis, 1973
- Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 1973
- A NEW LOOK AT THE CAPITAL ASSET PRICING MODELThe Journal of Finance, 1973
- The Distribution of Stock ReturnsJournal of the American Statistical Association, 1972
- Capital Market Equilibrium with Restricted BorrowingThe Journal of Business, 1972
- Capital Markets: Theory and EvidenceThe Bell Journal of Economics and Management Science, 1972
- The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual fundsJournal of Economic Theory, 1970
- Portfolio Theory: A Step Toward Its Practical ApplicationThe Journal of Business, 1970
- Market and Industry Factors in Stock Price BehaviorThe Journal of Business, 1966
- The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital BudgetsThe Review of Economics and Statistics, 1965