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- Title
In America's thrall: the effects of the US market and US security characteristics on Australian stock returns.
- Authors
Durand, Robert B.; Limkriangkrai, Manapon; Smith, Gary
- Abstract
Can Australian equity returns be modelled by 'home-grown' factors? We examine the indigenous capital asset pricing model, the indigenous Fama-French three-factor model, and extensions to the latter, and find them all wanting. We find evidence of domestic market segmentation in Australia. For the smallest firms, all the models we study fail. For the largest Australian firms, we find that the US Fama-French three factors (downloaded from French's website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/) provide a successful model of Australian returns. It is as if the largest firms in the Australian market are simply part of the larger US market.
- Subjects
AUSTRALIA; UNITED States; FINANCIAL markets; PORTFOLIO management (Investments); ASSETS (Accounting); DOMESTIC markets; COMMERCIAL markets; MARKET segmentation
- Publication
Accounting & Finance, 2006, Vol 46, Issue 4, p577
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2006.00184.x