Michael Dempsey
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6 publications
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620 downloads
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1956 views
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The significance of beta for stock returns in Australian markets
Investment Management and Financial Innovations Volume 5, 2008 Issue #3
Views: 552 Downloads: 231 TO CITE -
Are company size and stock beta, liquidity and idiosyncratic volatility related to stock returns? Australian evidence
Investment Management and Financial Innovations Volume 5, 2008 Issue #4 (cont.)
Views: 531 Downloads: 334 TO CITE -
The Fama and French three-factor model and leverage: compatibility with the Modigliani and Miller propositions
Investment Management and Financial Innovations Volume 6, 2009 Issue #1
Views: 546 Downloads: 177 TO CITE -
The small firm and other confounding effects in asset pricing data: some evidence from Australian markets
Investment Management and Financial Innovations Volume 7, 2010 Issue #4
Views: 473 Downloads: 243 TO CITE -
Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets
Sharif Mozumder , M. Humayun Kabir , Michael Dempsey doi: http://dx.doi.org/10.21511/imfi.14(3-2).2017.07Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 361-380
Views: 991 Downloads: 151 TO CITE АНОТАЦІЯThe authors consider Lévy processes with conditional distributions belonging to a generalized hyperbolic family and compare and contrast full density-based Lévy-expected shortfall (ES) risk measures and Lévy-spectral risk measures (SRM) with those of a traditional tail-based unconditional extreme value (EV) approach. Using the futures data of leading markets the authors find that ES and SRM often differ in recognizing the risk profiles of different assets. While EV (extreme value) is often found to be more consistent than Lévy models, Lévy measures often perform better than EV measures when compared with empirical values. This becomes increasingly apparent as investors become more risk averse.
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The Fama and French three-factor model in developing markets: evidence from the Chinese markets
Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 46-57
Views: 1567 Downloads: 223 TO CITE АНОТАЦІЯThe authors study the Fama and French three-factor (FF-3F) model in relation to a developing market. To this end, they consider Chinese stock markets over the period 1995–2008, which is to say, over a period when these markets are recognized as “developing” markets influenced by speculative activity. The authors find that the model appears to be working as a form of “principal component analysis for the determinants of stock price formation with book-to-market (B/M) as the “variable of choice” on account of that it captures the earnings-to-price (E/P), cash-flow-to-price (C/P) and sales-to-price (S/P) variables while remaining largely uncorrelated with firm size (whereas E/P, C/P and S/P are themselves positively correlated with firm size). The variables, however, are unrelated to risk as represented by market exposure, volatility, or leverage.
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