/book-to-market sorting and six size/prior-return sorting over the sample period 1927 - 2006. The key findings are: first, as is well …' September and October effects. Second, cross-style return dispersion exhibits a seasonal pattern of its own (it is largest in … the mean return in September is negative and in 15 countries it is significantly lower than the unconditional monthly mean …

(in predicting future return) disappears. The findings are robust to multiple specifications. The predictive ability of …

-stock return premium. Collectively, our findings indicate that religious beliefs regarding the acceptability of gambling impact …

This paper reexamines the dynamic relation between intraday trading volume and return volatility of large and small … public information as hypothesized by the SIAH. Our analysis further suggests that return volatility is higher in the periods …-attribution triggers excessive return volatility. …

that was better, for emiten more will be easy to receive capital and for the investor will obtain the profit or return. In … the macro variable economics (inflation, the bank's Indonesian certificate, and the exchange rate) toward return of the … BOPO variable, ROE, inflasi, and the exchange rate that were influential toward return. For the interval of time 6 monthly …