Monash University

A Comparison of Equity Pricing Models using Australian Data

Email address: Kevin.Abeyewardene@BusEco.monash.edu.au

Keywords: equity pricing, returns, GARCH-M

JEL Classifications: C22, C52, G12

Abstract:
This paper compares the effectiveness of three renowned equity pricing models using a sample of data from the Australian Stock Exchange (ASX). The three models compared were the influential Sharpe-Lintner-Black (SLB) Capital Asset Pricing Model, the Fama and French (FF) 3-factor model and the Bollerslev, Engle and Wooldridge (BSW) Capital Asset Pricing Model with time-varying covariances. The comparisons were also made over different time intervals and subsets of the full period of the data. The data used consisted of daily returns on a sample of 200 stocks from the ASX that cover a 12 year period. The All Ordinaries Accumulation Index was used as the proxy for the market return and the 30 day Bank Bill interest rates were used as a proxy for the risk free asset. Accounting variables such as book-to-market equity were obtained from financial information about the companies made available through J B Were and Sons. The results show that [results to be inserted].

PDF file of paper: abeyewardene_abstract.pdf

Session: Asset Prices II

Time: Sunday, 8 July, 8am - 9:30am

Room: C