Date of this Version

June 2006

Document Type

Journal Article

Publication Details

This article is reproduced with permission from JASSA (the Journal of Finsia - Financial Services Institute of Australasia). Copyright © 2006 JASSA. All rights reserved.

2006 HERDC submission

Abstract

This paper follows the work of O’Shaughnessy, whose book, ‘What Works on Wall Street’ benchmarked the expectations of a variety of fundamental variables on the US stock market.

In essence, O’Shaughnessy documented a number of relationships between various fundamental variables and expected market returns. A valid criticism when applying work such as O’Shaughnessy’s to the Australian market is that Australian investors may value different fundamental characteristics to US investors. The purpose of this paper is to determine the extent to which O’Shaughnessy’s findings are relevant to the Australian stock market.

This paper investigates those fundamental variables, albeit with a slightly differing methodology, and documents a number of similar findings, as well as a few surprises.

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This document has been peer reviewed.