Size and book-to-market factors in Australia

Tim Brailsford, Clive Gaunt, Michael A. O'Brien

Research output: Contribution to journalArticleResearchpeer-review

31 Citations (Scopus)
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Abstract

There is continuing debate in the asset-pricing literature as to the acceptance of the Fama-French three-factor model. While this model has received strong empirical support from tests in the US equity market, tests of the model in the Australian market have yielded inconclusive findings, particularly in respect of the high-minus-low factor. Prior research in Australia has suffered from limited datasets in respect of the accounting variables, and previous results vary with the scope of the dataset employed. Our study provides two advances. Firstly, the study utilizes a purpose-built dataset spanning 25 years and 98% of all listed firms. Secondly, the study employs a more appropriate portfolio construction method than that employed in prior studies. With these advances, the study is more able to test the three-factor model against the capital asset-pricing model (CAPM). The findings support the superiority of the Fama-French model, and for the first time align the research in this area between Australia and the USA.

Original languageEnglish
Pages (from-to)261-281
Number of pages21
JournalAustralian Journal of Management
Volume37
Issue number2
DOIs
Publication statusPublished - 2012

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Book-to-market
Market factors
Fama-French three-factor model
Portfolio construction
Asset pricing
Fama-French model
Acceptance
Equity markets
Factors
Capital asset pricing model

Cite this

Brailsford, Tim ; Gaunt, Clive ; O'Brien, Michael A. / Size and book-to-market factors in Australia. In: Australian Journal of Management. 2012 ; Vol. 37, No. 2. pp. 261-281.
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Brailsford, T, Gaunt, C & O'Brien, MA 2012, 'Size and book-to-market factors in Australia' Australian Journal of Management, vol. 37, no. 2, pp. 261-281. https://doi.org/10.1177/0312896211423555

Size and book-to-market factors in Australia. / Brailsford, Tim; Gaunt, Clive; O'Brien, Michael A.

In: Australian Journal of Management, Vol. 37, No. 2, 2012, p. 261-281.

Research output: Contribution to journalArticleResearchpeer-review

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