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Bayram Veli Salur and Cumhur Ekinci
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ra...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Adam Karp, Gary van Vuuren
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based ...
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Ahmed Al Samman,Mahmoud Moustafa Otaify
Pág. 300 - 315
This paper investigates how volatility of characteristics-sorted portfolios respond to macroeconomic volatility based on Egyptian data covering the period July 2002 ? June 2015. The paper uses three characteristics, namely size, book-to-market ratio and ...
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Jonathan Fletcher
This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a ...
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Stephanos Papadamou, Nikolaos A. Kyriazis and Lydia Mermigka
This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance ana...
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Marise Vermeulen
AbstractThis study investigated the relationship between share returns and nine variables that had been proven to influence returns in previous research, using a multiple regression analysis. These variables are size, leverage, book-to-market ratio, earn...
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Gyorgy Varga,Ricardo Dias de Oliveira Brito
Pág. 151 - 187
In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market ß and size do not play a role....
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Bee-Hoong Tay,Pei-Tha Gan
Pág. 1180 - 1188
The empirical studies on investors? investment reward rarely focus on the performance of excess returns across the developing and developed countries: investment in the developing countries has higher risk thus requires higher return compared to develope...
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Shaowen Hua
Pág. 42 - 56
I explore company characteristics which explain the difference in analysts? recommendations for companies that were underwritten (affiliated) versus non-underwritten (unaffiliated) by analysts? brokerage firms. Prior literature documents that analysts is...
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