Size, Book to Market and Momentum Effects in the Australian Stock Market

Konstantinos Kassimatis
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Konstantinos Kassimatis: Athens University of Economics and Business, 76 Patission sir., Athens 10434, Greece.

Australian Journal of Management, 2008, vol. 33, issue 1, 145-168

Abstract: 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.

Keywords: CAPM; SIZE EFFECT; BOOK TO MARKET EFFECT; MOMENTUM; TIME VARYING RISK PREMIA (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:33:y:2008:i:1:p:145-168

DOI: 10.1177/031289620803300108

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