Are beta, firm size, liquidity and idiosyncratic volatility related to stock returns? Australian evidence

@inproceedings{Clayton2007AreBF,
  title={Are beta, firm size, liquidity and idiosyncratic volatility related to stock returns? Australian evidence},
  author={Louise Clayton and Michael T. Dempsey and Madhu Veeraraghavan},
  year={2007}
}
The paper is aimed at examining the inter-relationships between firm size, liquidity, idiosyncratic volatility and their relation to a stock's beta and return performance for Australian equities. Our analysis suggests the existence of confounding effects that may need to be recognised in making meaningful interpretations of the data; specifically, that as well as being potentially explanatory of equity performance, beta, liquidity and idiosyncratic volatility are capable of being the outcome of… CONTINUE READING