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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

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital … asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market … of Nigeria. The evidence suggests that liquidity factors are relevant only for financial and basic materials sector …

Persistent link: https://www.econbiz.de/10011213044

What drives the January seasonality in the illiquidity premium? : evidence from international stock markets

Zaremba, Adam; Cakici, Nusret - In: The journal of investment strategies 10 (2021) 1, pp. 43-66

Persistent link: https://www.econbiz.de/10012805362

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …

Persistent link: https://www.econbiz.de/10009770247

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...

Persistent link: https://www.econbiz.de/10011412159

Investor heterogeneity and commonality in stock return and liquidity

Pan, Deng; Shi, Jing; Wu, Fei; Zhang, Bohui - In: Economic systems 39 (2015) 3, pp. 458-473

Persistent link: https://www.econbiz.de/10011532310

The size effect and default risk : evidence from the Vietnamese stock market

Le Quy Duong; Bertrand, Philippe - In: Review of financial economics : RFE 40 (2022) 4, pp. 377-388

Persistent link: https://www.econbiz.de/10013461475

Betting against beta

Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

Persistent link: https://www.econbiz.de/10010718732

Are REITs more resilient than non-REITs? : evidence from natural experiments

Jain, Pawan; Upadhyay, Arun - In: Japan and the world economy : international journal of … 58 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012940111

Market fairness and efficiency : evidence from the Tokyo stock exchange

Kemme, David M.; McInish, Thomas H.; Zhang, Jiang - In: Journal of banking & finance 134 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013400003

Passive investors and concentration of intraday liquidity : evidence from the Tokyo Stock Exchange

Kitajima, Kiichi - In: Pacific-Basin finance journal 74 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013389468

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