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A Test of a Two-Factor 'Market and Oil' Pricing Model

Faff, Robert W; Brailsford, Tim

Description

In this paper we employ a GMM-based approach to test the restrictions imposed by a two-factor 'market and oil' pricing model when a risk-free asset is assumed to exist. We examine the Australian market which has several interesting features including self-sufficiency in relation to oil, a large concentration of natural resource companies, susceptibility to the 'Dutch disease' and a diverse industry base. We extend previous literature by examining industry sector equity returns as different...[Show more]

CollectionsANU Research Publications
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/40684
http://digitalcollections.anu.edu.au/handle/1885/40684
Source: Pacific Accounting Review

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