Anomalies and Stock Returns: Australian Evidence

22 Pages Posted: 8 Oct 2009

See all articles by Philip Gharghori

Philip Gharghori

Monash University

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area

Multiple version iconThere are 2 versions of this paper

Date Written: 2009-01-08


Prior research has identified the existence of several cross-sectional patterns in equity returns, commonly referred to as effects. This paper tests for the existence of a number of well-known effects using data from the Australian equities market. Specifically, we investigate the size effect, book-to-market effect, earnings-to-price effect, cashflow-to-price effect, leverage effect and the liquidity effect. An additional aim of this paper is to investigate the capability of the Fama–French model in explaining any observed effects. We document a size, book-to-market, earnings-to-price and cashflow-to-price effect but fail to find evidence of a leverage or liquidity effect. Although our findings indicate that the Fama–French model can partially explain some of the observed effects, we conclude that its performance is less than satisfactory in Australia.

Suggested Citation

Gharghori, Philip and Veeraraghavan, Madhu, Anomalies and Stock Returns: Australian Evidence (2009-01-08). Accounting & Finance, Vol. 49, Issue 3, pp. 555-576, September 2009, Available at SSRN: or

Philip Gharghori (Contact Author)

Monash University ( email )

Wellington Road
Melbourne, 3800
+61399059247 (Phone)


Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area ( email )

Manipal, Karnataka 576104
+91-820-2701030 (Phone)

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