Anomalies, risk adjustment and seasonality: Australian evidence

Zhong, A, Limkriangkrai, M and Gray, P 2014, 'Anomalies, risk adjustment and seasonality: Australian evidence', International Review of Financial Analysis, vol. 35, pp. 207-218.

Document type: Journal Article
Collection: Journal Articles

Title Anomalies, risk adjustment and seasonality: Australian evidence
Author(s) Zhong, A
Limkriangkrai, M
Gray, P
Year 2014
Journal name International Review of Financial Analysis
Volume number 35
Start page 207
End page 218
Total pages 12
Publisher Elsevier BV
Abstract On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After adjusting for exposure to risk, convincing evidence only remains for the size premium. An analysis of seasonality shows that, rather than being consistent throughout the year, anomaly returns are concentrated in a handful of months. We provide and test preliminary explanations of the observed seasonality in these well-known anomalies.
Subject Finance
Investment and Risk Management
Keyword(s) Anomaly
Asset pricing
Market efficiency
Momentum effect
Profitability premium
Size effect
Value premium
DOI - identifier 10.1016/j.irfa.2014.09.004
Copyright notice © 2014 Elsevier Inc. All rights reserved.
ISSN 1057-5219
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