Purpose -This paper aims to confirm the existence of size, book to market (BM) and momentum effects in the New Zealand (NZ) stock market. It also aims to compare the performance of the CAPM, the Fama-French (FF) model, and Carhart's model in explaining the variation of stock returns. Design/methodology/approach -The paper adapts the Fama and French methodology using a 2 £ 3 size-BM ratio sort. It also forms three portfolios based on past returns to verify the momentum effect. Findings -The paper documents significant BM and momentum effects but a relatively weaker size effect. The paper finds some improvement in explanatory power provided by the FF model relative to the CAPM but it still leaves a large part of the variation in stock returns unexplained. The FF model is also unable to explain the strong momentum effect in New Zealand. Practical implications -The findings imply that: cost of capital estimates would be more accurate using Carhart's model; portfolio managers can increase returns by investing in small and high BM firms that are recent winners; performance evaluation should take into account the size, BM, and momentum effects; and the existence of size and BM return premia appear to be rewards to risk bearing. Originality/value -The existing literature testing the robustness of the FF model in markets outside the USA is sparse, especially in emerging markets, with most of these studies suffering from data problems. The NZ stock market provides an interesting setting for such a study because of its unique characteristics.

This study, by employing structural vector auto regression models, investigates the macroeconomic effects of world oil and food price shocks in the context of selected Asia and Pacific countries. The study reveals that the economic activities of resource‐poor countries that specialise in heavy manufacturing industries, like Korea and Taiwan, are highly affected by world oil price shocks. On the other hand, the economic activities of oil‐poor nations such as Australia and New Zealand, with diverse mineral resources other than oil, are not affected by oil price shocks. Furthermore, countries that are oil poor but specialise in international financial services, such as Singapore and Hong Kong, are also not affected by oil price increases. Moreover, some developing countries, in this case, India, with limited reserves of oil are not affected by oil price shocks, whereas other such countries, like Thailand, possessing a number of natural resources other than oil are more strongly affected by oil price shocks. With regard to food price shocks, limited impacts from food price increases can be recorded for India, Korea and Thailand. Overall, the effects of external oil and food prices depend on the economic characteristics of the countries.

We examine the role of idiosyncratic risk in five ASEAN markets of Malaysia, Singapore, Thailand, Indonesia, and the Philippines. Our research was motivated by the findings of Ang et al. (2006Ang et al. ( , 2009) of a 'puzzling' negative relation between idiosyncratic volatility and 1-month ahead stock returns in developed markets and the suggestion of the ubiquity of these results in other markets. In contrast, we find no evidence of an idiosyncratic volatility puzzle in these Asian stock markets; instead, we document a positive relationship between idiosyncratic volatility and returns in Malaysia, Singapore, Thailand, and Indonesia and no relationship in the Philippines. The idiosyncratic volatility trading strategy could result in significant trading profits in Malaysia, Singapore, Thailand, and to some extent in Indonesia. Our study underscores the fact that generalizing empirical results obtained in developed stock markets to new and emerging markets could potentially be misleading.

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