Many previous studies document a robust premium for value vs. growth stocks in international markets. We show that this premium is driven by few years where HML returns are high and significant. For instance, for twelve European markets the HML return is statistically significant, on average,...

We examine short-run patterns in government bond returns after market-moving events. Our sample covers government bond series from 17 developed countries. We find that abnormal returns follow momentum for about two weeks following an event and then reverse for a period of up to 60 days after the...

We propose a theoretical framework for constructing a market proxy that corresponds to the ldquo;market portfoliordquo; of financial theory. We construct this proxy, analyze its determinants and test its efficiency and explanatory power over the period 1974-2003 with respect to the return...

In this paper we use the Clark (1991) methodology to estimate the macroeconomic financial risk premium from 1985 to 1997 for Argentina, Brazil, Chile, Colombia, Mexico and Venezuela, the 6 Latin American countries with the largest stock markets, and test whether and to what extent it affects...

In this paper, we empirically investigate the relationship between equity and credit market development and economic growth, in a sample of five very important 'emerging' markets. In particular, we employ a multivariate time-series methodology to test for long-run trends and causality between...

The concept of efficient portfolios plays an important role in modern financial theory and practice. Although there is an extensive and growing literature that focuses on testing portfolio efficiency, outside of mean-variance optimization, which has several serious shortcomings, no systematic...

In this paper, we construct zero cost portfolios based on second and third degree stochastic dominance and show that they produce systematic, statistically significant, abnormal returns. These returns are robust with respect to the single index CAPM, the Fama-French three-factor model, the...

This paper empirically investigates the relationship between equity and credit market development and economic growth, in a sample of five very important 'emerging' markets. In particular, employing a multivariate time-series methodology to test for long-run trends and causality between...