An empirical analysis of asset pricing models in Australia: [a dissertation submitted to Auckland University of Technology in partial fulfilment of the requirements for the degree of Master of Business (MBus), 2015] / Xiaoxiao Zheng ; supervisors: Bart Frijns, Thanh Huynh.
Fama and French (2015) develop a five-factor model with the market risk, size, book-to-market, profitability and investment factors, and find that this model has stronger explanatory power than the three-factor model of Fama and French (1993) in the U.S. markets. In addition, they find that, once th...
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| Format: | Ethesis |
| Language: | English |
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| Online Access: | Click here to access this resource online |
| Summary: | Fama and French (2015) develop a five-factor model with the market risk, size, book-to-market, profitability and investment factors, and find that this model has stronger explanatory power than the three-factor model of Fama and French (1993) in the U.S. markets. In addition, they find that, once the profitability and investment factors are controlled for, the book-to-market factor becomes redundant in their sample. They suggest that this redundancy might be specific to the U.S. markets. In this thesis, I analyse the performance of alternative asset pricing models in the Australian market. My findings confirm the power of the five-factor model. Furthermore, consistent with Fama and French's conjecture, the book-to-market factor is not redundant in the Australian market. Author supplied keywords: Asset pricing; Five-factor model; Australia; Book-to-market. |
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| Physical Description: | 1 online resource Also held in print (viii, 80 leaves : illustrations ; 30 cm) in off-campus storage, box 159. |
| Bibliography: | Includes bibliographical references. |