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New Information and Australian Equity Returns: A Multivariate Analysis

Utilising multivariate techniques the study investigates the relationship between new macroeconomic information and weekly Australian equity returns and tests the joint hypothesis of market efficiency and constant equilibrium expected equity returns (or constant risk premium). The joint hypothesis is strongly rejected for the 1978–1981 sample period. On the other hand, Australian equity returns are found to be significantly positively related to U.S. equity returns, growth of the monetary base, and the rate of change of the US$/A$ exchange rate.