Risk and Return from Equity Investments in the Australian Mining Industry: January 1958 — February 1979
Risk and Return from Equity Investments in the Australian Mining Industry: January 1958 — February 1979
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澳大利亚采矿业股权投资的风险和回报：1958 年 1 月 — 1979 年 2 月
DOI：
10.1177/031289628000500203
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发表时间：
1980
期刊：
影响因子：
--
通讯作者：
P. Brown
中科院分区：
文献类型：
--
作者：
R. Ball;P. Brown
按照费希尔和洛里（Fisher and Lorie，1968）的精神，作者构建了一个数据库，其中包含1958年1月至1979年2月期间1029只单独上市的悉尼矿业股票的月收益率。该数据库应促进进一步的研究。第一次使用的数据是由澳大利亚矿业的股票投资的历史风险和回报的作者的研究。在此期间，价值加权平均回报率为每年11.9%，连续复合。矿业股票比工业股票风险大得多（就其本身而言），而且其风险中有惊人的大部分似乎无法分散。规模（以市值衡量）和随后的回报率之间的相关性很小，尽管规模和回报率的标准差显着负相关。采矿的风险/回报比较似乎不利，这是不正常的，需要进一步调查。
In the spirit of Fisher and Lorie (1968), the authors constructed a data base comprising monthly rates of return on 1029 separately-listed Sydney mining equities over the period January 1958 to February 1979. The data base should stimulate further research. The first use of the data is a study by the authors of historical risks and returns from equity investments in Australian mining. The value-weighted average return over the period was found to be 11.9% per year, continuously-compounded. Mining equities were considerably riskier (considered by themselves) than industrial equities and a surprisingly large amount of their risk did not appear to be diversifiable. There was little correlation between size (measured by market capitalization) and subsequent rate of return, though size and standard deviation of rate of return were significantly negatively correlated. The seemingly unfavourable risk/return comparison for mining is anomalous and requires further investigation.