Australian Journal of Management articles from September 2003

Australian Journal of Management archives from September 2003

Stock markets: risk, return and pricing--an overview.(Editorial)(Editorial)
September 1, 2003... This issue of the Australian Journal of Management investigates a number of ideas at the heart of the finance discipline as they relate to the various risk, return and pricing outcomes in stock markets. There are three broad themes addressed by...

Firm size, book-to-market equity and security returns: evidence from the Shanghai Stock Exchange.
September 1, 2003... Abstract: Capital market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta...

Momentum in Australian stock returns.
September 1, 2003... Abstract: Medium-term momentum, or the tendency of investment strategies based on buying past winning stocks while selling past losing stocks to maintain above normal performance over a period, has been a well-documented feature of stock...

Equity transmission mechanisms from Asia to Australia: interdependence or contagion?
September 1, 2003... Abstract: The linkages between daily Asian and Australian equity market returns over the period 1995-2001 are investigated within the framework of a latent factor model. Transmission mechanisms arising from both market interdependence and...

Tracking error and active portfolio management.
September 1, 2003... Abstract: Persistent bear market conditions have led to a shift of focus in the tracking error literature. Until recently the portfolio allocation literature focused on tracking error minimization as a consequence of passive benchmark...

A survival analysis of Australian equity mutual funds.
September 1, 2003... Abstract: Determining which types of mutual (or managed) investment funds are good financial investments is complicated by potential survivorship biases. This project adds to a small recent international literature on the patterns and...