This paper examines the relation between beta and realized returns in the Korean and Taiwan stock markets. Traditional tests found that beta is unable to explain the realized returns in both markets. Though unsystematic risk, total risk, skewness and kurtosis are significantly related to returns...

Seasonalities in asset returns, including the January effect, the Halloween effect and the same-calendar-month effect, are widely documented in the literature. We show that a number of popular factors in the empirical asset pricing literature exhibit some well-known seasonalities. Most of the...

We investigate the long-term performance of firms added to or deleted from the Hang Seng Index from 1986 to 2008. The stocks newly deleted from the Hang Seng Index have abnormal returns over a 5-year holding period and the newly added stocks do not. The deleted stocks outperform the added...

We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks...

This study provides evidence of the conditional effect on market beta, firm size, book-to-market equity ratio (B/M), and earnings-to-price ratio (E/P) to the cross-section of monthly portfolio excess returns in two Asian emerging stock markets: Malaysia and Thailand. Beta may not be a suitable...