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: 547 Downloads: 230 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: 526 Downloads: 330 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: 543 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: 471 Downloads: 242 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: 978 Downloads: 150 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: 1522 Downloads: 221 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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