An empirical analysis of asset pricing models in Australia

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aut.embargoNoen_NZ
aut.thirdpc.containsNoen_NZ
aut.thirdpc.permissionNoen_NZ
aut.thirdpc.removedNoen_NZ
dc.contributor.advisorFrijns, Bart
dc.contributor.advisorHuynh, Thanh
dc.contributor.authorZheng, Xiaoxiao
dc.date.accessioned2015-10-20T22:35:43Z
dc.date.available2015-10-20T22:35:43Z
dc.date.copyright2015
dc.date.created2015
dc.date.issued2015
dc.date.updated2015-10-20T21:38:27Z
dc.description.abstractFama 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.en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/9130
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.rights.accessrightsOpenAccess
dc.subjectAsset pricingen_NZ
dc.subjectFive-factor modelen_NZ
dc.subjectAustraliaen_NZ
dc.subjectBook-to-marketen_NZ
dc.titleAn empirical analysis of asset pricing models in Australiaen_NZ
dc.typeThesis
thesis.degree.discipline
thesis.degree.grantorAuckland University of Technology
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Theses
thesis.degree.nameMaster of Businessen_NZ
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