Tests of asset pricing models in Australia using non-normal distributions
Australian Journal of Management
Published online on April 29, 2026
Abstract
Australian Journal of Management, Ahead of Print.
This article demonstrates that Australian equity returns and factors are strongly non-normal and that non-normality seems to be adequately modelled as a jointly multivariatetrandom variable with 7 degrees of freedom. When means and alphas are estimated ...
This article demonstrates that Australian equity returns and factors are strongly non-normal and that non-normality seems to be adequately modelled as a jointly multivariatetrandom variable with 7 degrees of freedom. When means and alphas are estimated ...