New Information and Australian Equity Returns: A Multivariate Analysis

I. G. Sharpe
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I. G. Sharpe: Department of Economics, University of Newcastle. The paper was completed while the author was Visiting Scholar at Stanford University. I would like to thank Paul Evans, Bert Hickman and a referee for their comments and assistance.

Australian Journal of Management, 1983, vol. 8, issue 1, 21-34

Abstract: Utilising multivariate techniques the study investigates the relationship between new macroeconomic information and weekly Australian equity returns and tests the joint hypothesis of market efficiency and constant equilibrium expected equity returns (or constant risk premium). The joint hypothesis is strongly rejected for the 1978–1981 sample period. On the other hand, Australian equity returns are found to be significantly positively related to U.S. equity returns, growth of the monetary base, and the rate of change of the US$/A$ exchange rate.

Keywords: EFFICIENCY; EQUITY RETURNS; NEW INFORMATION (search for similar items in EconPapers)
Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:8:y:1983:i:1:p:21-34

DOI: 10.1177/031289628300800102

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