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Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth
Liew, Jimmy; Vassalou, Maria - C.E.P.R. Discussion Papers - 1999
We examine the extent to which the profitability of the HML, SMB, and WML trading strategies can be linked to future GDP growth. Using a large cross-section of securities from ten developed markets, we find that the HML and SMB portfolios contain significant information about future GDP growth....
Persistent link: https://www.econbiz.de/10005791430
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Foreigners Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001
We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...
Persistent link: https://www.econbiz.de/10005114153
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Size and liquidity effects in Nigeria: an industrial sector study
Hearn, Bruce - In: Journal of Developing Areas 48 (2014) 3, pp. 1-30
asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market … stocks while size factor is more generally relevant in explaining the cross section of stock returns in the Nigerian domestic …
Persistent link: https://www.econbiz.de/10011213044
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The volatility effect in emerging markets
Blitz, David; Pang, Juan; van Vliet, Pim - In: Emerging Markets Review 16 (2013) C, pp. 31-45
We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed...
Persistent link: https://www.econbiz.de/10010682555
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Asset prices and exchange risk: Empirical evidence from Canada
Samson, Lucie - In: Research in International Business and Finance 28 (2013) C, pp. 35-44
Asset prices have been found to respond to unpredicted changes in macroeconomic variables in a number of studies. This paper focuses on the relationship between economic factors and the stock market for a small open economy, namely Canada. Exchange risk is observed to have a significant impact...
Persistent link: https://www.econbiz.de/10010616908
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The high returns to low volatility stocks are actually a premium on high quality firms
Walkshäusl, Christian - In: Review of Financial Economics 22 (2013) 4, pp. 180-186
Recent empirical research shows that low volatility stocks outperform high volatility stocks around the world. This study documents that the volatility effect is associated with the quality of the firm using a large sample of international stocks. First, adding a quality factor to the...
Persistent link: https://www.econbiz.de/10011064883
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Islamic investing
Walkshäusl, Christian; Lobe, Sebastian - In: Review of Financial Economics 21 (2012) 2, pp. 53-62
indices invest mainly in growth stocks and positive momentum stocks. This, for a passive portfolio intriguing result can …, however, be explained by the strong sector allocation towards energy firms and their strong momentum characteristic during the …
Persistent link: https://www.econbiz.de/10011064885
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The role of shorting, firm size, and time on market anomalies
Israel, Ronen; Moskowitz, Tobias J. - In: Journal of Financial Economics 108 (2013) 2, pp. 275-301
We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We … find that long positions make up almost all of size, 60% of value, and half of momentum profits. Shorting becomes less … important for momentum and more important for value as firm size decreases. The value premium decreases with firm size and is …
Persistent link: https://www.econbiz.de/10010664048
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Tests of alternative asset pricing models using individual security returns and a new multivariate F-test
Rahman, Shafiqur; Schneider, Matthew J. - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950001-1-1950001-34
Persistent link: https://www.econbiz.de/10012156138
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Size and momentum profitability in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015
We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover …
Persistent link: https://www.econbiz.de/10011412159