ORCID Profile
0000-0002-6148-7305
Current Organisations
University of Colorado Anschutz Medical Campus
,
Monash University
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Publisher: Cambridge University Press (CUP)
Date: 14-03-2017
DOI: 10.1017/S0022109017000023
Abstract: Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders’ perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence, though, of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.
Publisher: Elsevier BV
Date: 06-2019
Publisher: Springer Science and Business Media LLC
Date: 04-05-2007
Publisher: SAGE Publications
Date: 03-2008
DOI: 10.1177/031289620803200308
Abstract: This paper examines the smart money effect on Australian superannuation funds. Specifically, we investigate whether Australian investors make smart choices in selecting funds. We build on previous research which shows that sophisticated investors have the ability to invest in funds that subsequently perform well. Our findings deviate from the existing literature in that we fail to uncover supporting evidence for a smart money effect in the Australian superannuation fund industry. However, we do find some evidence of investors who are able to identify funds whose future performance will be poor and who disinvest accordingly. Our findings have serious policy implications, as we show that investors generally are not able to recognise high performing superannuation funds.
Publisher: Elsevier BV
Date: 06-2010
Publisher: Elsevier BV
Date: 04-2010
Publisher: Wiley
Date: 21-08-2090
Publisher: Wiley
Date: 12-12-2018
DOI: 10.1111/IRFI.12249
Publisher: Wiley
Date: 12-03-2013
Publisher: Wiley
Date: 29-04-2019
DOI: 10.1111/IRFI.12268
Publisher: Elsevier BV
Date: 11-2009
Publisher: Informa UK Limited
Date: 03-01-2020
Publisher: SAGE Publications
Date: 12-2007
DOI: 10.1177/031289620703200204
Abstract: In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the Fama-French model with a default factor and run system regressions of the default enhanced models using the GMM approach. Our key findings are that: 1) default risk is not priced in equity returns and, 2) the Fama-French factors are not proxying for default risk. Although our findings suggest that SMB and HML are not proxying for default risk, our analysis indicates that the Fama-French factors are capturing some form of priced risk However, what type of risk the Fama-French factors are capturing remains an open question.
Publisher: Informa UK Limited
Date: 25-07-2008
Publisher: Springer Science and Business Media LLC
Date: 20-10-2015
Publisher: Springer Science and Business Media LLC
Date: 20-05-2012
Publisher: Informa UK Limited
Date: 09-2007
Publisher: Elsevier
Date: 2016
Publisher: SAGE Publications
Date: 02-07-2013
Abstract: Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor in our asset pricing tests. Using an extensive dataset drawn from the Australian equities market, we find that liquidity explains a portion of the common variation in stock returns even after controlling for size, book-to-market and momentum. However, our findings suggest that the liquidity factor only adds marginal explanatory power to contemporary asset pricing models.
Publisher: Elsevier BV
Date: 11-2013
Publisher: Wiley
Date: 30-10-2012
Publisher: Emerald
Date: 03-2006
DOI: 10.1108/01140580610732769
Abstract: Daniel and Titman (1997) contend that the Fama‐French three‐factor model’s ability to explain cross‐sectional variation in expected returns is a result of characteristics that firms have in common rather than any risk‐based explanation. The primary aim of the current paper is to provide out‐of‐s le tests of the characteristics versus risk factor argument. The main focus of our tests is to examine the intercept terms in Fama‐French regressions, wherein test portfolios are formed by a three‐way sorting procedure on book‐to‐market, size and factor loadings. Our main test focuses on ‘characteristic‐balanced’ portfolio returns of high minus low factor loading portfolios, for different size and book‐to‐market groups. The Fama‐French model predicts that these regression intercepts should be zero while the characteristics model predicts that they should be negative. Generally, despite the short s le period employed, our findings support a risk‐factor interpretation as opposed to a characteristics interpretation. This is particularly so for the HML loading‐based test portfolios. More specifically, we find that: the majority of test portfolios tend to reveal higher returns for higher loadings (while controlling for book‐to‐market and size characteristics) the majority of the Fama‐French regression intercepts are statistically insignificant for the characteristic‐balanced portfolios, very few of the Fama‐French regression intercepts are significant.
Publisher: Informa UK Limited
Date: 08-12-2016
Publisher: Springer Science and Business Media LLC
Date: 07-2009
Publisher: Elsevier BV
Date: 09-2011
Publisher: Elsevier BV
Date: 2014
Publisher: SAGE Publications
Date: 12-2006
DOI: 10.1177/031289620603100203
Abstract: In this paper we evaluate the performance of three alternate default-risk models, seeking to find that measure which performs best, using a comprehensive s le drawn from the Australian equities market. The first two models are option-based models and are derived from Merton's (1974) insight that equity can be viewed as a call option on a firm's assets. In the first model, equity is modelled as a standard call option. In the second model, equity is modelled as a path-dependent barrier option. The third model is created using accounting ratios and is similar to Altman's (1968) Z-Score. To assess which of the models is superior, we consider variations of each model and then rely on prediction-oriented tests that focus on whether a firm subsequently defaults. Our results show that the option-based models clearly outperform their accounting ratio counterparts. Furthermore, our analysis suggests that the option-based models are very successful at ranking firms by default probability. It is noteworthy that the performances of the option-based models are difficult to distinguish from each other.
Publisher: Elsevier BV
Date: 11-2007
Publisher: Informa UK Limited
Date: 27-01-2020
Location: United States of America
Location: Australia
No related grants have been discovered for Philip Gharghori.