Anomalies, risk adjustment and seasonality: Australian evidence

Angel Zhong, Manapon Limkriangkrai and Philip Gray

International Review of Financial Analysis, 2014, vol. 35, issue C, 207-218

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.

Keywords: Market efficiency; Asset pricing; Anomaly; Size effect; Value premium; Momentum effect; Profitability premium; Seasonality (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:35:y:2014:i:c:p:207-218

DOI: 10.1016/j.irfa.2014.09.004

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