Asset Pricing in the Australian Industrial Equity Market

Ray Ball (), Philip Brown and R. R. Officer
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Philip Brown: New South Wales
R. R. Officer: University of Queensland

Australian Journal of Management, 1976, vol. 1, issue 1, 1-32

Abstract: The two-moment, mean-variance model of asset pricing is tested against data from the Melbourne stock exchange. The model appears to describe the data quite well, though there are problems in experimental design which are yet to be cleared up. Neither variance nor skewness appears to explain additional price behaviour to that explained by covariance, as is predicted by the two-moment model.

Keywords: ASSET-PRICING; MEAN-VARIANCE MODEL; SKEWNESS; STOCK MARKET PRICES (search for similar items in EconPapers)
Date: 1976
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:1:y:1976:i:1:p:1-32

DOI: 10.1177/031289627600100101

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