Seasonality in Australian share price indices between 1936 and 1957

Article Abstract:

There have been a number of Australian studies which have investigated monthly equity return seasonality from 1958 to the mid-1980s. This paper extends the Australian evidence on seasonality by examining equity returns between 1936 and 1957. The major finding of the study is that returns in January are consistently higher than returns in any other month, and that returns in February and June are consistently lower than returns in other months. There is also evidence that returns in July are higher, and in March are lower, than returns in other months. However, it is the January, February and June seasonals which are significant and these remain after taking account of seasonality in ex-dividend days. (Reprinted by permission of the publisher.)

Security and commodity exchanges, Stock-exchange, Stock exchanges, Securities

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A derivation of the CAPM for pedagogical use

Article Abstract:

A central paradigm in modern finance theory is the capital asset pricing model (CAPM). While the CAPM is invariably taught in introductory finance courses, a derivation is commonly reserved for graduate courses. This is primarily because the avilable CAPM derivations usually assume an advanced knowledge of pure mathematics. This note provides a simple derivation of the CAPM which requires only an understanding of very basic mathematical concepts. The derivation explicitly highlights the link between the capital market line and the securuty market line which students often fail to comprehend. Our simple derivation can easily be adopted by instructors at all levels. (Reprinted by permission of the publisher.)

Research, Capital assets pricing model, Capital asset pricing model

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Examining the forward pricing function of the Australian equity index futures contract

Article Abstract:

A study is conducted to analyze the efficacy of Australian equity index futures in determining the spot prices. The study reveals that the prediction of spot prices depends on the time period.

Australia, Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis, Spot market, Equity (Finance)

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