The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship...

This paper investigates the existence of a pure momentum strategy in the Saudi stock market (SSM), the largest market in the Middle East and one of the fastest growing markets in the world. Price momentum profitability in the SSM is very similar in magnitude and significance to these found in...

This paper examines the risk/return relationship for life insurance stock returns using CAPM-GARCH. Prior studies use the traditional CAPM and fail to find risk-adjusted returns. Utilizing CAPM-GARCH, we find life insurance stocks provided 7.96% risk adjusted returns for the period 1985-2003....

This study focuses on REIT CEO compensation. We utilize five different definitions for CEO compensation: salary, bonus, cash compensation, total compensation, and option awards. To capture the determinants of CEO compensation, we use the following performance measures: three-year stock returns,...

Given the recent much interest in REITs, we investigate if REITs have provided investors with superior risk/return trade off. Utilizing a conditional CAPM, we find that equity REITs have outperformed the market with an average abnormal annual return of 2.25% with a low time-varying beta of...

Emotion plays a significant role in both institutional and individual investors' decision making process. However, there is a lack of empirical evidence available that addresses how investors' emotions affect commodity market returns. This study examines the short-term predictive power of...

We study the intertemporal risk-return tradeoff relations based on returns from 18 international markets. We find striking new empirical evidence that the inclusion of U.S. market returns significantly changes the estimated risk-return tradeoff relations in international markets from mostly...

We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news...

This study examines what influences the changes in REIT CEO compensation using the following performance measures: average three-year total returns to shareholders, market value added, Tobin's q, and change in funds from operations. In addition, we examine the impact of managerial power on the...