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

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