Over the last twenty years, many researchers have documented that the average rate of return from stocks in the month of January is higher than in any other month of the year. More recently, several I researchers have offered a convincing explanation for this 50 called January effect. The window...

Different rating and investment companies have recently pointed out Spain's brightening growth outlook, which has energized the Spanish stock market. By anticipating greater interest in the behaviour of the Spanish stock market, we show that the best trading strategy is that in which the...

There are two main questions that have attracted considerable attention in the financial literature over the last few years: whether international diversification benefits are still substantial in the current context of increasing market correlations and which approach provides better results in...

The aim of this article is to analyse the forecasting ability of the conditional autoregressive range (CARR) model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range...

The aim of this study is to analyse the stock performance of family firms from 1999 to 2008 in the Portuguese stock market, where these kinds of firms are frequently found. Consistent with previous research, we employ a methodology based on a portfolio formation approach. Furthermore, we study...

Idiosyncratic risk has been the subject of a great deal of international financial research. However, one question remains unsolved thus far: how to introduce it in asset pricing models. The aim of this paper is two-fold. Firstly, we propose and compare two alternative implications of...

The main object of this study is to construct a liquidity risk factor and analyze its impact on asset pricing for the Spanish stock market over the 1994-2002 period. We generated this factor using the Fama and French (1993) orthogonal approach and analyzed if it must be included as an augmented...

Global stock market investment has highlighted the debate about whether country effects are typically more relevant than sector/industry effects in international stock returns. This paper studies the roles of country and industry effect on several major European financial markets. We find clear...

Although the behavior of the Spanish stock market has been studied from many different points of view, none of the previous research has ever analyzed the influence of previous daytime, overnight and daily returns from the DOW and IBEX upon 5-min intraday returns of the IBEX throughout the...

This study aims to assess performance differences between family and non-family firms, taking into account the Portuguese and the Spanish stock markets. We provide new evidence for this field since we take into account the heterogeneity among family firms. Our thesis is that the leadership of...