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Research Article

Realized semibetas in the Australian stock market

Jinze LiDepartment of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Queensland, AustraliaCorrespondence[email protected]

https://orcid.org/0000-0002-2411-3363

Bin LiDepartment of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Queensland, Australia

https://orcid.org/0000-0001-7588-9623

Jen-Je SuDepartment of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Queensland, Australia

https://orcid.org/0000-0002-8417-167X

Published online: 09 Apr 2024

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https://doi.org/10.1080/00036846.2024.2337809
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Realized semibetas in the Australian stock market

Table 1. Control variables.

Table 2. Summary statistics and correlations.

Table 3. Benchmark Fama – MacBeth multivariate OLS regression.

Table 4. Hypothesis testing.

Table 5. Fama – MacBeth OLS regression with market capitalization restrictions.

Table 6. Fama – MacBeth OLS regression with subsample tests.

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Realized semibetas in the Australian stock market

Figures & data

Table 1. Control variables.

Table 2. Summary statistics and correlations.

Table 3. Benchmark Fama – MacBeth multivariate OLS regression.

Table 4. Hypothesis testing.

Table 5. Fama – MacBeth OLS regression with market capitalization restrictions.

Table 6. Fama – MacBeth OLS regression with subsample tests.

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