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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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Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?
Zaremba, Adam; Konieczka, Przemyslaw - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 84-104
of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia … find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the …, only the value premium survives. The size and momentum effects get obliterated. …
Persistent link: https://www.econbiz.de/10011147544
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The Cross-Section of German Stock Returns: New Data and New Evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43
We introduce a new data set that comprises factor returns and returns of portfolios that are single- and double-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama-French (1993) three-factor model, and the carhart (1997)...
Persistent link: https://www.econbiz.de/10010548163
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The cross-Section of German stock returns: New data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
momentum factor) as well as returns of portfolios which are single- and double-sorted according to market beta, size, book … available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a …-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we …
Persistent link: https://www.econbiz.de/10008684975
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Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns
Hung, Chi-Hsiou - Department of Economics and Finance, Business School - 2007
The paper investigates the effects of firm-specific and country-specific characteristics, and the 1997 Asian financial crisis on the debt maturity structure of firms in the Asia Pacific region. Given that the economies of the sample countries were at different stages of development and were...
Persistent link: https://www.econbiz.de/10009294136
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Leverage and Returns in Three Countries of Southern European Region
Artikis, Panayotis; Nifora, Georgia - In: European Research Studies Journal XIV (2011) 4, pp. 3-26
This paper aims to investigate the impact of leverage on stock returns in three southern European countries, members of the Euro zone, Greece, Italy and Portugal from 2000 to 2010. The portfolio level analysis is performed both on a full sample basis and on an industry basis. The main...
Persistent link: https://www.econbiz.de/10010663684
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Risk Factors for the Swiss Stock Market
Ammann, Manuel; Steiner, Michael - In: Swiss Journal of Economics and Statistics (SJES) 144 (2008) I, pp. 1-35
The four risk factors controlling for the market, size, value and momentum effect have become a state …
Persistent link: https://www.econbiz.de/10005125235
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Foreigners´ Trading and Price Effects Across Firms
Dahlquist, Magnus; Robertsson, Göran - Institute for Financial Research (SIFR) - 2001
We study the investment behavior 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,...
Persistent link: https://www.econbiz.de/10005651559
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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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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010986470