Research Papers - Dept of Business

Permanent URI for this collectionhttps://rda.sliit.lk/handle/123456789/1668

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Author: search.filters.author.Alles, L. ASubject: search.filters.subject.Asset pricing

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    Industry return predictability, timing and profitability
    (North-Holland, 2006-04-01) Yao, J; Alles, L. A
    This paper aims to investigate the predictability of Australian industrial stock returns. Several identified economic variables are found to contain significant predictive power over industry portfolio returns in a Bayesian dynamic forecasting model. The Bayesian updating process was also applied in an investigation of out-of-sample prediction, timing ability and the profitability of an investment strategy of industry-rotation. When the predictor variables are employed in out-of-sample analysis, the predictive power is superior to the naïve prediction. The timing ability and profitability associated with predictability are also economically significant. When the industry momentum is examined, the results show that a group-rotation strategy can enhance the portfolio performance.
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    Asset pricing and downside risk in the Australian share market
    (Routledge, 2017-09-14) Alles, L. A; Murray, L
    As downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a developed market, the Australian Securities Exchange merits separate investigation, as it is small and concentrated on some sectors, when compared with the major developed markets. As realized returns are a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods. We find that both downside risks are separately priced by investors, and that our results are unaffected by the inclusion of a range of company characteristics. We subsequently confirm that returns to each downside risk are not related. In robustness tests, we conclude that the return to downside risk cannot be explained by a size, a value, or a momentum premium. Although it also has explanatory power, the inclusion of a leverage factor also does not reduce the explanatory power of downside risk.