Cross-sectional determinants of New Zealand share market returns

Cross-sectional determinants of New Zealand share market returns

We present evidence of the cross‐sectional relation between security returns, beta, firm size and book‐to‐market ratio over the period 1971 to 1993 on the New Zealand sharemarket. Our results suggest that the NZSE‐40 market index is not a mean‐variance efficient market proxy—the betas calculated wit...

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Veröffentlicht in:Accounting and finance (Parkville) 1997-11, Vol.37 (2), p.181-205
Hauptverfasser: Bryant, Paul S., Eleswarapu, Venkat R.
Format: Artikel
Sprache:eng
Schlagworte:
Asset pricing
Capital assets
Efficient markets
National security
New Zealand
NZSE-40 index
Prices
Stock exchanges
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Zusammenfassung:We present evidence of the cross‐sectional relation between security returns, beta, firm size and book‐to‐market ratio over the period 1971 to 1993 on the New Zealand sharemarket. Our results suggest that the NZSE‐40 market index is not a mean‐variance efficient market proxy—the betas calculated with respect to it being of little use for explaining expected returns cross‐sectionally. Also, there is a significant positive relation between book‐to‐market ratio and average return.
ISSN:0810-5391
1467-629X
DOI:10.1111/j.1467-629X.1997.tb00320.x