Dimensional Fund Advisers (DFA) will work in cooperation with Monash University and the University of Queensland as part of a three year study into investigating new models for the pricing of risk in Australian stocks.
The project will be entitled “The value of growth and risk in the Australian stockmarket”, and is expected to cost more than $1 million to complete.
The collaborative research agreement will be funded by a project grant provided by the Australian Research Council.
DFA’s chairman Glenn Crane says DFA is committed to the project and through its strong links to US academics will provide valuable intellectual resources in addition to financial expertise.
Crane says that unlike the United States, little work has been done to date to better progress Australia’s knowledge of stock pricing.
“This is an important subject considering that understanding how stock prices move and what drives returns remains the ‘holy grail’ of financial economics today,” Crane says.
Professor Tim Brailsford of the University of Queensland and Professor Robert Faff of Monash University, will head the project and will work closely with Dimensional and a team of researchers from both universities.
