English, Article edition: Are stock returns related toshort-term and long-term past returns? Australian evidence Philip Gharghori; Ronald Lee; Madhu Veeraraghavan

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Bookmark: http://trove.nla.gov.au/version/50805
Physical Description
  • article
Language
  • English

Edition details

Title
  • Are stock returns related toshort-term and long-term past returns? Australian evidence
Author
  • Philip Gharghori
  • Ronald Lee
  • Madhu Veeraraghavan
Physical Description
  • article
Notes
  • The purpose of this article is to identify whether there is a short-term continuation of returns and a long-term reversal of returns in an Australian setting and to subsequently investigate if the Capital Asset Pricing Model (hereafter CAPM) and the Fama and French (1993) three factor model (hereafter FFM) are capable of explaining these anomalies. We find a short-term continuation of returns but not a long-term reversal of returns. We also find that both models fail to explain the short-term continuation in returns. However, the FFM yields higher explanatory power than the CAPM.
  • RePEc:taf:apfelt:v:4:y:2008:i:4:p:277-282
Language
  • English
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