There is continuing debate in the asset pricing literature as to the acceptance of the Fama-French threefactor model. While this model has received strong empirical support from tests in the US equity market, tests of the model in the Australian market have yielded inconclusive findings, particularly in respect of the HML factor. Prior research in Australia has suffered from limited datasets in respect of the accounting variables, and previous results vary with the scope of the dataset employed. Our study provides two advances. First, the study utilises a purpose-built dataset spanning 25 years and 98% of all listed firms. Second, the study employs a more appropriate portfolio construction method than that employed in prior studies. With these advances, the study is more able to test the three-factor model against the CAPM. The findings support the superiority of the Fama-French model, and for the first time align the research in this area between Australia and the USA.JEL Classification: G110, G120, G140
Prior evidence concerning momentum in Australian equity returns has produced inconsistent results. This study examines the interaction between momentum and firm size. Specifically, we report that momentum returns are significant only for larger portfolios, and that this finding explains the inconsistent results of prior research. We demonstrate that momentum is present only in the top 500 stocks, and is most economically significant among the mid-cap stocks, which we call a relative size effect. However, the momentum returns are primarily generated from poor performance of the loser portfolio rather than any superior performance of the winner portfolio. In a more formal examination of the impact of size, we find significant exposure to a size factor among the combinations of size and performance portfolios. The strongest exposure to the size factor is found in small loser portfolios which also have the strongest exposure to market risk. In explaining the source of momentum returns, our findings cast doubt on the practical implementation of a trading strategy, and we suggest that successful momentum trading strategies are likely to realize ‘paper’ profits rather than generate real investment returns.
Value investment strategies are premised on research that value stocks outperform growth stocks. However, the research findings are dependent on the portfolio classification method that is used to sort stocks using the attributes of size and book-tomarket ratios. Different stock markets contain different distributions of stocks, and in many markets, illiquidity concerns combined with a lack of investment scale, effectively create barriers to practical portfolio formations that align with the research. This study conducts a case study on one such market (Australia) and demonstrates that different methods of portfolio formation lead to different conclusions. For example, previous studies in Australia find evidence of the value premium only being present in the largest stocks, in contrast to the results from the US market. However, we find a value premium that is systematic across all size categories and generally increases inversely with size. Further, we find the previously pervasive size premium largely disappears once portfolios are formed that better represent feasible investment sets and once 'penny dreadfuls' are removed.JEL Classification: G110, G120, G140
This research with social work practitioners explores ways in which social justice ideas are reflected at different levels of social work practice. Social justice is actively drawn on in practice, but primarily at the level of daily practice and is less actively utilized at the macro level of change.
Members of the Aotearoa New Zealand Association of Social Workers (ANZASW) were asked to provide their definition of social work. Over 300 responses were analysed thematically in order to determine if practitioner views corresponded to recent shifts in social work education and theory which emphasized the importance of social change, strengths based perspectives and the importance of local and indigenous contexts.Findings: The findings demonstrate that while there was some recognition of social change and strengths-based perspectives in the definitions of social work provided, that those working in the field remain focused on 'helping individuals, families and groups' engage in change. Respondents did not, for the most part, acknowledge local or indigenous perspectives in their definitions.Applications: Results from this study may be useful for social work professional organizations, and social work educators, students and future researchers who are interested in the definition of social work and its scopes of practice.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.