Abstract
Prior research in the Australian equity market has failed to fully document the well-known influences of size and book-to-market effects that have been evidenced in other markets. While much is known about the size effect in Australia, data limitations have curtailed attempts to analyse the book-to-market effect. So, the question remains as to whether the value premium exists in Australia or whether it has simply failed to be adequately explored. This study uses a new and specially constructed database that covers 98% of all Australian listed firms over a 25 year period and provides evidence of both a size and value premium in the Australian market. For the first time in Australia, in both time-series and cross-sectional tests, the constructed factors reveal a significantly positive priced premium. The incorporation of these factors in the Fama-French three-factor model reveal the model's superiority over the CAPM.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
