In America's thrall: the effects of the US market and US security characteristics on Australian stock returns

Robert B. Durand, Manapon Limkriangkrai and Gary Smith

Accounting and Finance, 2006, vol. 46, issue 4, pages 577-604

Abstract: Can Australian equity returns be modelled by 'home-grown' factors? We examine the indigenous capital asset pricing model, the indigenous Fama-French three-factor model, and extensions to the latter, and find them all wanting. We find evidence of domestic market segmentation in Australia. For the smallest firms, all the models we study fail. For the largest Australian firms, we find that the US Fama-French three factors (downloaded from French's website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/) provide a successful model of Australian returns. It is as if the largest firms in the Australian market are simply part of the larger US market. Copyright (c) The Authors Journal compilation (c) 2006 AFAANZ.

Downloads: (external link)
http://www.blackwell ... 67-629X.2006.00184.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand
Series data maintained by Christopher F. Baum ().