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Volume 33 Number 1 June 2008 |
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Size, Book-to-Market, and Momentum Effects in the Australian Stock Market |
| Konstantinos Kassimatis
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Abstract |
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We examine the significance of the size, book-to-market and momentum risk factors in explaining portfolio returns in the Australian stock market. We compare the CAPM to a four-factor model assuming static risk premia, and find that the additional factors have significant explanatory power. Under the assumption of time-varying factor loadings, though, the significance of the three additional factors becomes marginal, which suggests that size, book-to-market and momentum may proxy for misspecified market risk.
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Keywords |
| CAPM; SIZE EFFECT; BOOK TO MARKET EFFECT; MOMENTUM; TIME VARYING RISK PREMIA |
Contact DetailsKonstantinos KassimatisAthens University of Economics and Business, 76 Patission str., Athens 10434, Greece Email: konstantino6@yahoo.co.uk |
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