Purpose – Negative relationship between the return of a stock and its liquidity suggests that the illiquid stocks are riskier than liquid stocks. Thus, researchers tend to include the stock liquidity as a variable in asset pricing models, where the stock and market liquidities are usually...

Purpose – The aim of this paper is to examine the relationship between weather (temperature) and stock market returns using daily data from Portugal; also, to examine whether the temperature is driven by calendar-related anomalies such as the January and trading month effects....

Purpose – The purpose of this paper is to reinvestigate the performance of common stock returns with respect to two popularly known firm level characteristics: size and book-to-market ratio. Design/methodology/approach – All of New York Stock Exchange, American Stock Exchange, and National...

Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...

Purpose – The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to various...

Purpose – In this paper, the aim is to investigate the tail behavior of daily stock returns for three emerging stock in the Gulf region (Bahrain, Oman, and Saudi Arabia) over the period 1998-2005. In addition, the aim is also to test whether the distributions are similar across these markets....

Purpose – Malkiel and Xu state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. The purpose of this paper is to ask whether idiosyncratic volatility is useful in explaining the variation in expected returns; and...

Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices....

Purpose – To investigate the performance of moving average trading rules in an emerging market context, namely that of the Jordanian stock market. Design/methodology/approach – The conditional returns on buy or sell signals from actual data are examined for a range of trading rules. These...