The Cross-section of Stock Returns: Out of Sample Evidence From the Early New Zealand Stock Market

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aut.author.twitter@DanaOGrady
aut.embargoNoen_NZ
aut.thirdpc.containsNoen_NZ
aut.thirdpc.permissionNoen_NZ
aut.thirdpc.removedNoen_NZ
dc.contributor.advisorFrijns, Bart
dc.contributor.advisorTourani-Rad, Alireza
dc.contributor.authorO'Grady, Dana
dc.date.accessioned2017-11-16T23:07:31Z
dc.date.available2017-11-16T23:07:31Z
dc.date.copyright2017
dc.date.created2017
dc.date.issued2017
dc.date.updated2017-11-16T19:00:35Z
dc.description.abstractIn this thesis, I analyse the pricing ability of major asset pricing models using an out of sample data set from the New Zealand stock market in 1899-1929. Previous literature argues that the observed predictive ability of models is a result of the research design and database used to conduct the research. This unique dataset provides a way to test these models on data that has not been a component in previous models and testing. I find evidence of positive returns in the value and size portfolios, with high returns in momentum. There is strong evidence that Carhart’s (1997) four factor model captures variation in returns, with observed size and weaker book-to-market effects. Cross-sectional tests identify existence of a strong positive relation to momentum and profitability.en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/10988
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.rights.accessrightsOpenAccess
dc.subjectAsset-pricingen_NZ
dc.subjectFinanceen_NZ
dc.subjectMomentumen_NZ
dc.subjectValueen_NZ
dc.subjectSizeen_NZ
dc.subjectFactorsen_NZ
dc.titleThe Cross-section of Stock Returns: Out of Sample Evidence From the Early New Zealand Stock Marketen_NZ
dc.typeThesis
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Theses
thesis.degree.nameMaster of Businessen_NZ
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