Firm Size, Book-to-Market Equity and Security Returns: Evidence from the Shanghai Stock Exchange.
ME Drew, T Naughton… - Australian Journal of …, 2003 - search.ebscohost.com
Capital market theory is concerned with the equilibrium relationship between risk and
expected return on risky assets. Within this framework, this paper seeks to extend the mounting …
expected return on risky assets. Within this framework, this paper seeks to extend the mounting …
A closer look at the size and value premium in emerging markets: Evidence from the Kuala Lumpur Stock Exchange
ME Drew, M Veeraraghavan - Asian Economic Journal, 2002 - Wiley Online Library
In this study of asset pricing in emerging markets, two questions are asked. First, Is there a
size and value premium in markets outside the USA? Second, Can the multifactor model of …
size and value premium in markets outside the USA? Second, Can the multifactor model of …
Dynamic lifecycle strategies for target dateretirement funds
AK Basu, A Byrne, ME Drew - The Journal of Portfolio …, 2011 - jpm.pm-research.com
Lifecycle funds offered to retirement plan participants gradually reduce exposure to stocks
as the funds approach the target date of the participants’ retirement.The authors show that …
as the funds approach the target date of the participants’ retirement.The authors show that …
[PDF][PDF] Portfolio size effect in retirement accounts: What does it imply for lifecycle asset allocation funds?
AK Basu, ME Drew - Journal of Portfolio …, 2009 - research-repository.griffith.edu.au
… Drew School of Economics and Finance … Fax +61 (0)7 37353719 E-mail: a.basu@qut.edu.…
E-mail: michael.drew@griffith.edu.au …
E-mail: michael.drew@griffith.edu.au …
Combining momentum with reversal in commodity futures
RJ Bianchi, ME Drew, JH Fan - Journal of Banking & Finance, 2015 - Elsevier
This paper examines profitable trading strategies that jointly exploit momentum and reversal
signals in commodity futures. While the single-sort momentum strategies returns 11.14% …
signals in commodity futures. While the single-sort momentum strategies returns 11.14% …
The appropriateness of default investment options in defined contribution plans: Australian evidence
AK Basu, ME Drew - Pacific-Basin Finance Journal, 2010 - Elsevier
For participants in defined contribution (DC) plans who refrain from exercising investment
choice, plan contributions are invested following the default investment option of their …
choice, plan contributions are invested following the default investment option of their …
Commodities momentum: A behavioral perspective
RJ Bianchi, ME Drew, JH Fan - Journal of Banking & Finance, 2016 - Elsevier
The growth in commodity-related investments has sparked interest in the performance of
momentum strategies in these markets. This paper introduces a behavioral proxy of the 52-…
momentum strategies in these markets. This paper introduces a behavioral proxy of the 52-…
Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange
ME Drew, T Naughton, M Veeraraghavan - International Review of …, 2004 - Elsevier
This paper employs the mimicking portfolio approach of Fama and French [J. Finance 51 (1996)
55] and asks whether idiosyncratic volatility is priced for equities listed in the Shanghai …
55] and asks whether idiosyncratic volatility is priced for equities listed in the Shanghai …
The identification of Ponzi schemes: can a picture tell a thousand frauds?
JM Drew, ME Drew - Griffith Law Review, 2010 - Taylor & Francis
There is voluminous commentary on the origins of the global financial crisis (GFC),
international attempts to limit the contagion and the Herculean effort to stop the global economy …
international attempts to limit the contagion and the Herculean effort to stop the global economy …
Long-term US infrastructure returns and portfolio selection
RJ Bianchi, G Bornholt, ME Drew… - Journal of banking & …, 2014 - Elsevier
Our understanding of the long-term return behavior and portfolio characteristics of public
infrastructure investments is limited by a relatively short history of empirical data. We re-…
infrastructure investments is limited by a relatively short history of empirical data. We re-…