Regularities in Australian Share Returns

William L. Beedles, Peter Dodd and R. R. Officer
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William L. Beedles: The School of Business Administration, The University of Kansas.
Peter Dodd: The William E. Simon Graduate School of Business Administration, Sydney.
R. R. Officer: Graduate School of Management, University of Melbourne.

Australian Journal of Management, 1988, vol. 13, issue 1, 1-29

Abstract: The inverse relation between total equity value and return is confirmed for Australian ordinary shares over the 1974–1984 period. We find this so-called size effect to be robust with respect to several technical methodological adjustments. In particular, the pattern persists when we account for: fluctuations in the returns of nominally riskless assets; varying levels of systematic risk of size ranked portfolios; the index selected to represent the common factor in the return generating mechanism; the form of returns, i.e., simple versus continuously compounded; possible initial mispricing of new issues; possible seasoning of new issues; shares that leave the data base for bankruptcy, winding up, or other reasons; the third moment of the return distribution; and the levels of portfolios' unsystematic risks. We do find several economic variables that seem in part to account for the magnitude of the size effect, viz., accounting for: yearly rather than monthly portfolio revision; nonsynchronous trading; and varying transactions charges, volume of information available, and liquidity between large and small firms.

Keywords: SIZE; ANOMALIES; RETURNS; INVESTORS; REGULARITIES (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:13:y:1988:i:1:p:1-29

DOI: 10.1177/031289628801300101

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