Risk and Return from Equity Investments in the Australian Mining Industry: January 1958 — February 1979

Ray Ball () and Philip Brown
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Philip Brown: University of W.A. We wish to acknowledge the generous financial support of C.R.A. Services Limited, the assistance of the Stock Exchange of Sydney, the comments of the referees and the work of our research assistants on this project, David Firth and (especially) Jill Henry.

Australian Journal of Management, 1980, vol. 5, issue 1-2, 45-66

Abstract: In the spirit of Fisher and Lorie (1968), the authors constructed a data base comprising monthly rates of return on 1029 separately-listed Sydney mining equities over the period January 1958 to February 1979. The data base should stimulate further research. The first use of the data is a study by the authors of historical risks and returns from equity investments in Australian mining. The value-weighted average return over the period was found to be 11.9% per year, continuously-compounded. Mining equities were considerably riskier (considered by themselves) than industrial equities and a surprisingly large amount of their risk did not appear to be diversifiable. There was little correlation between size (measured by market capitalization) and subsequent rate of return, though size and standard deviation of rate of return were significantly negatively correlated. The seemingly unfavourable risk/return comparison for mining is anomalous and requires further investigation.

Keywords: ANOMALY; MINING; RETURN; RISK; SIZE; STOCK MARKET PRICES (search for similar items in EconPapers)
Date: 1980
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:5:y:1980:i:1-2:p:45-66

DOI: 10.1177/031289628000500203

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