Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Australian Stock Indexes And The Four-Factor Model, Bruce A. Costa, Keith Jakob, Scott J. Niblock, Elisabeth Sinnewe
Australian Stock Indexes And The Four-Factor Model, Bruce A. Costa, Keith Jakob, Scott J. Niblock, Elisabeth Sinnewe
Dr Elisabeth Sinnewe
Stock indexes are passive ‘value-weighted’ portfolios and should not have alphas which are significantly different from zero. If an index produces an insignificant alpha, then significant alphas for equity funds using this index can be attributed solely to manager performance. However, recent literature suggests that US stock indexes can demonstrate significant alphas, which ultimately raise questions regarding equity fund manager performance in both the US and abroad. In this paper, we employ the Carhart four-factor model and newly available Asian-Pacific risk factors to generate alphas and risk factor loadings for eight Australian stock indexes from January 2004 to December 2012. …