Philip Gharghori

Philip Gharghori
Monash University (Australia) · Department of Banking and Finance

PhD

About

34
Publications
5,161
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Citations
Introduction

Publications

Publications (34)
Article
Social impact bonds (SIBs) have emerged as an innovative financing mechanism. This paper explores how health SIBs align with investors’ expectations and the conditions required to attract investors. At present, health SIBs are unlikely to provide sufficient financial returns given their financial risk to attract mainstream investors, so may be bett...
Article
Equity markets outside the US are generally dominated by small-sized stocks that are outside the investable universe of institutional investors and professional money managers. In this paper, we compare the performance of a range of competing factor models in pricing large Australian stocks. By doing so, we shed light on the mixed findings in prior...
Article
Using Google search volume as a proxy for investor attention, this paper provides evidence on the role attention plays in financial markets. We first show that abnormal Google search volume (ASVI) helps explain cross‐sectional variations in trading activity, even after controlling for its important determinants. Specifically, ASVI is positively rel...
Article
This study examines the comovement between eight prominent Australian asset pricing anomalies and their corresponding US counterparts. It confirms the continued existence of these anomalies in Australia and finds that these anomalies do not co‐move with their US counterparts. Given the conflicting findings in prior research on the integration or se...
Article
Full-text available
This study formulates a two-factor empirical model under the intertemporal CAPM framework to evaluate the cross-sectional implications of socially responsible investments in the US equity market. Our results show that socially responsible investments have no asset pricing impact on the US market. We argue that this ‘no financial impact’ finding ind...
Chapter
This chapter examines the relationship between screening intensity, which describes the degree to which stocks are filtered out of a socially responsible investment (SRI) fund's investable universe based on social concerns and performance in SRI mutual funds. Thus, in contrast to most prior research in the area, which compares SRI funds to their no...
Article
Existing empirical evidence for the relevance of the β in modelling asset returns is mixed. Drawing on conditional tests of β first proposed by Pettengill, Sundaram and Mathur (1995) and extended by Bollen (2010), empirical evidence employing monthly data is presented that indicates that β is highly related to variability of asset returns but not t...
Article
We extend Vassalou (2003) by conditioning the Fama–French model with the same macroeconomic variables used to construct a GDP factor. The motivation for doing so is to ascertain whether the ability of the GDP-augmented model to explain equity returns is actually due to news about future GDP growth or whether it is due to the macroeconomic condition...
Article
Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994) show that value stocks earn substantially higher returns than growth stocks. Barbee, Mukherji and Raines (1996) and Leledakis and Davidson (2001) show that the ratio of sales-to-price and debt-to-equity are better predictors of average equity returns than book-to-market equity and fi...
Article
We re-evaluate the cross-sectional asset pricing implications of the recursive utility function of Epstein and Zin, 1989 and Epstein and Zin, 1991, using innovations in future consumption growth in our tests. Our empirical specification helps explain the size, value and momentum effects. Specifically, we find that (і) the beta associated with news...
Article
Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor in our asset pricing tests. Using an extensive dataset drawn from the Australian equities market, we find that liquidity explains a portion of the common v...
Article
The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for the Fama–French factors. Both time-series and cross-section...
Article
This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund classes are more exposed to the riskier benchmarks. Further,...
Chapter
Introduction Case study: Asset pricing in financial markets Time-varying Fama–French model Bayesian estimation Analysis Conclusion References
Article
This paper examines the relationship between difference of opinion among investors and the return on Australian equities. The paper is the first to employ dispersion in analysts' earnings forecasts, abnormal turnover and idiosyncratic volatility as proxies for difference of opinion. We document a negative relationship between difference of opinion...
Article
The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand whether there are common sources of liquidity. This has...
Article
This paper investigates how different types of migration contribute to the size and value premiums for Australian equities. We find that: (a) the majority of stocks that stay in the same portfolio during the next period contribute to both the size and value premiums, (b) small-cap neutral and small-cap growth stocks that move to a lower market-to-b...
Article
We test whether default risk is related to equity returns using the Fama and MacBeth [Fama, E.F., MacBeth, J., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.] regression framework. The proxy we use for default risk is the default probability obtained from option-based models. Our findings show that d...
Article
Prior research has identified the existence of several cross-sectional patterns in equity returns, commonly referred to as effects. This paper tests for the existence of a number of well-known effects using data from the Australian equities market. Specifically, we investigate the size effect, book-to-market effect, earnings-to-price effect, cashfl...
Article
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fama and French (J Financ Econ 33:3–56, 1993) model’s ability to explain the cross sectional variation in equity returns is because the Fama–French factors are proxying for risk associated with future GDP growth in the Australian equities market. To assess t...
Article
The purpose of this article is to identify whether there is a short-term continuation of returns and a long-term reversal of returns in an Australian setting and to subsequently investigate if the Capital Asset Pricing Model (hereafter CAPM) and the Fama and French (19934. Fama , E. F. and French , K. R. 1993. Common risk factors in the returns o...
Article
This paper examines the smart money effect on Australian superannuation funds. Specifically, we investigate whether Australian investors make smart choices in selecting funds. We build on previous research which shows that sophisticated investors have the ability to invest in funds that subsequently perform well. Our findings deviate from the exist...
Article
Full-text available
In this paper we investigate the contention that the Fama-French (1993) model's ability to explain cross-sectional variation in equity returns occurs because the Fama-French factors, SMB and HML, are proxying for default risk. To assess the default risk hypothesis, we augment the CAPM and the Fama-French model with a default factor and run system r...
Article
This article examines the link between macroeconomic variables and equity returns in Australia by testing conditional asset pricing models. We find that conditioning the Fama-French model with a series of macroeconomic variables does not considerably improve its performance. However, we do find that the Fama-French factors, SMB and HML, retain thei...
Article
This study utilizes the variance ratio test to examine the behavior of Brazilian exchange rate. We show that adjustments for multiple tests and a bootstrap methodology must be employed in order to avoid size distortions. We propose a block bootstrap scheme and show that it has much nicer properties than the traditional Chow-Denning [Chow, K.V., Den...
Article
This paper examines the relationship between difference of opinion among investors and the return on Australian equities. The paper is the first to employ both dispersion in analysts' earnings forecasts and maximum share turnover as proxies for difference of opinion among investors. We also investigate whether difference of opinion can explain the...
Article
Gruber [Gruber, M., 1996. Another puzzle: the growth in actively managed mutual funds. Journal of Finance 51, 783–810] and Zheng [Zheng, L., 1999. Is money smart? A study of mutual fund investors’ fund selection ability. Journal of Finance 54, 901–933] document that managed fund investors demonstrate fund selection ability as they invest in funds w...
Article
In this paper we evaluate the performance of three alternate default-risk models, seeking to find that measure which performs best, using a comprehensive sample drawn from the Australian equities market. The first two models are option-based models and are derived from Merton's (1974) insight that equity can be viewed as a call option on a firm's a...
Article
Daniel and Titman (1997) contend that the Fama-French three-factor model’s ability to explain cross-sectional variation in expected returns is a result of characteristics that firms have in common rather than any risk-based explanation. The primary aim of the current paper is to provide out-of-sample tests of the characteristics versus risk factor...

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