Anomalies, risk adjustment and seasonality: Australian evidence

Journal article


Zhong, Anqi, Limkriangkrai, Manapon and Gray, Philip. (2014). Anomalies, risk adjustment and seasonality: Australian evidence. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2014.09.004
AuthorsZhong, Anqi, Limkriangkrai, Manapon and Gray, Philip
Abstract

On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After adjusting for exposure to risk, convincing evidence only remains for the size premium. An analysis of seasonality shows that, rather than being consistent throughout the year, anomaly returns are concentrated in a handful of months. We provide and test preliminary explanations of the observed seasonality in these well-known anomalies.

KeywordsMarket efficiency; Asset pricing; Anomaly; Size effect; Value premium; Momentum effect; Profitability premium; Seasonality
Year2014
JournalInternational Review of Financial Analysis
Digital Object Identifier (DOI)https://doi.org/10.1016/j.irfa.2014.09.004
Research GroupPeter Faber Business School
Publisher's version
File Access Level
Controlled
EditorsB. M. Lucey
Permalink -

https://acuresearchbank.acu.edu.au/item/88xyv/anomalies-risk-adjustment-and-seasonality-australian-evidence

Restricted files

Publisher's version

  • 66
    total views
  • 0
    total downloads
  • 3
    views this month
  • 0
    downloads this month
These values are for the period from 19th October 2020, when this repository was created.

Export as

Related outputs

A Better Model? An Empirical Investigation of the Fama-French Five-factor Model in Australia
Chiah, Mardy, Chai, Daniel, Zhong, Anqi and Li, Song. (2016). A Better Model? An Empirical Investigation of the Fama-French Five-factor Model in Australia. International Review of Finance. https://doi.org/10.1111/irfi.12099
The MAX effect: An exploration of risk and mispricing explanations
Zhong, Anqi and Gray, Philip. (2016). The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking and Finance. 65, pp. 76 - 90. https://doi.org/10.1016/j.jbankfin.2016.01.007
Seasonality in momentum profitability
Zhong, Anqi, Limkriangkrai, Manapon and Gray, Philip. (2014). Seasonality in momentum profitability. Journal of the Australian Society of Security Analysts.