Academic Research
Published academic research and analysis for the high-level investor
Net share issues and the cross-section of equity returns
There is strong empirical evidence that stocks that issue new shares experience negative abnormal returns following the issuance.
Trend salience, investor behaviours and momentum profitability
There is strong empirical evidence that investors have tendencies to extrapolate trends in time-series data. However, not all trends are extrapolated.
Return dispersion and conditional momentum returns: International evidence
Momentum is a pervasive anomaly with high expected returns. However, momentum strategies experience infrequent…
Investor myopia and the momentum premium across international equity markets
While evidence of a momentum premium has received widespread empirical support, there is a large dispersion in the size…
Momentum in Australian style portfolios: risk or inefficiency?
The existence of momentum in the cross-section of stock returns has received widespread empirical support from academics and practitioners alike.
Internal governance does matter to equity returns but much more so during “Flights to Quality”
This paper uses hand-collected data that measures the quality of corporate governance for companies in the ASX300…
Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
If the investment opportunity set changes over time, then investors should allocate their resources to hedge against…
Other articles you may enjoy
You’ll find our analysts musings quick to read but always incredibly insightful. Feel free to browse any topic that piques your interest.
