The common perception in the literature, mainly based on U.S. data, is that current dividend yields are uninformative about future dividends. We show that this finding changes substantially when looking at a broad international panel of countries, as aggregate dividend growth rates are found to...

The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...

This report consists of two parts. The first part is a research note describing a comprehensive analysis of the realized return differential between small and large firms (i.e., the "size premium") in a sample of European stocks during the period between 1990 and 2018. This study establishes...

This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity factors of Martinez et al (2005) in explaining...

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 markets of Nigeria. The evidence suggests that additional size...

The present study examines the impact of cultural and religious festivals on the trading behavior of a sample of stocks listed on the five emerging Asian markets: Hong Kong, Indonesia, Malaysia, Singapore and Taiwan, over the years 1991-2011. I investigate the festivals' impact on stock returns...

This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993) as well as both size and liquidity factors of Martinez et al (2005) in explaining average returns in industry...

Is there a size effect in the FX market? That is, do the currencies of small countries generate higher excess returns than the currencies of large countries? Using the market capitalization of a country as the measure of size, we document a strong size effect in the FX market. Size effect...

The study investigates the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in three ways. First, we provide fresh evidence for value, size and momentum premiums in country returns. Second, we show that these premiums are robust to...

This study investigates the robustness of the Fama and French three-factor model in the context of the Shanghai and Shenzhen stock exchanges spanning the period 1995–2008. We show that the three-factor model does a meaningful job in describing the cross-section of stock returns in this...