An examination of conditional asset pricing models in the Australian equities market

Annette Nguyen, Robert Faff, Philip Gharghori*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)307-312
Number of pages6
JournalApplied Financial Economics Letters
Volume3
Issue number5
DOIs
Publication statusPublished - Sep 2007
Externally publishedYes

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