English, Article edition: An examination of conditional asset pricing models in the Australian equities market Annette Nguyen; Robert Faff; Philip Gharghori

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Bookmark: http://trove.nla.gov.au/version/50832
Physical Description
  • article
Language
  • English

Edition details

Title
  • An examination of conditional asset pricing models in the Australian equities market
Author
  • Annette Nguyen
  • Robert Faff
  • Philip Gharghori
Physical Description
  • article
Notes
  • This article examines the link between macroeconomic variables and equity returns in Australia by testing conditional asset pricing models. We find that conditioning the Fama-French model with a series of macroeconomic variables does not considerably improve its performance. However, we do find that the Fama-French factors, SMB and HML, retain their ability to explain equity returns even after the model is conditioned on macroeconomic variables. Our findings suggest that investors do not adjust their risk premiums according to the changes in the macroeconomic variables we employ.
  • RePEc:taf:apfelt:v:3:y:2007:i:5:p:307-312
Language
  • English
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