TY - JOUR
T1 - In America's thrall: the effects of the US market and US security characteristics on Australian stock returns
AU - Durand, Robert
AU - Limkriangkrai, Manapon
AU - Smith, Gary
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
U2 - 10.1111/j.1467-629X.2006.00184.x
DO - 10.1111/j.1467-629X.2006.00184.x
M3 - Article
SN - 0810-5391
VL - 46
SP - 577
EP - 604
JO - Accounting and Finance
JF - Accounting and Finance
IS - 4
ER -