The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and...

Ferguson and Shockley (2003. Equilibrium 'anomalies'.Journal of Finance 58:2549-2580) develop a theoretical model and argue that size and book-to-market(B/M) effects in stock returns derive their cross-sectional explanatory powerbecause they proxy for leverage and financial distress. Using UK...

Evidence on long-run and short-run relationship among the major stock indexes inthe highly concentrated Athens stock exchange (ASE) is provided utilizing dailydata for the period 01/01/96 to 31/12/03. The findings suggest that even thoughthe sector indexes do not show a consistent and strong...