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A tale of two anomalies : higher returns of low-risk stocks and return seasonality
Fiore, Christopher; Saha, Atanu - In: The financial review : the official publication of the … 50 (2015) 2, pp. 257-273
Persistent link: https://www.econbiz.de/10011282741
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Value Premiums and the January Effect : International Evidence
Das, Praveen - 2011
Using data from the stock markets of Japan, the U.K, and France, this paper examines the distribution and source of value premium in average stock returns for the period 1975 through 2007. Results from this study indicate a January effect in value premium, which is valid and economically...
Persistent link: https://www.econbiz.de/10013122833
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What drives the January seasonality in the illiquidity premium? : evidence from international stock markets
Zaremba, Adam; Cakici, Nusret - In: The journal of investment strategies 10 (2021) 1, pp. 43-66
Persistent link: https://www.econbiz.de/10012805362
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Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? : evidence from the European equity market
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: The European journal of finance 27 (2021) 8, pp. 721-739
Persistent link: https://www.econbiz.de/10012516122
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Return seasonalities in the Chinese stock market
Meng, Chen; Du, Qingjie; Shu, Haibing - In: Pacific-Basin finance journal 85 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014576690
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Überrenditeeffekte am deutschen Aktienmarkt : eine theoretische und empirische Analyse
Schnittke, Jürgen - 1989
Persistent link: https://www.econbiz.de/10013428774
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Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market
Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300
Persistent link: https://www.econbiz.de/10010380791
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A multifactor model explanation of the anomalies in the cross-section of expected stock returns : evidence from Indonesia, Singapore and Taiwan
Naughton, Tony; Veeraraghavan, Madhu - In: Finance India : the quarterly journal of Indian … 19 (2005) 1, pp. 135-157
Persistent link: https://www.econbiz.de/10003153200
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Empirical Testing of the Five-Factor Model of Fama and French in Indonesia as an Emerging Capital Market
Saleh, Mustaruddin - 2020
This study was conducted to empirically examine the five-factor model of Fama and French in respect to stock returns of companies listed in the finance sector with 170 observations over the period 2012-2016. As a comparative analysis, this study is also conducted to examine CAPM and the...
Persistent link: https://www.econbiz.de/10012843789
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Does an Islamic-SRI portfolio really matter? : empirical application of valuation models in Indonesia
Qoyum, Abdul; Al Hashfi, Rizqi Umar; Zusryn, Alyta Shabrina - In: Borsa Istanbul Review 21 (2021) 2, pp. 105-124
This study empirically investigates the comparative performance of four portfolios- Indonesia Shariah Stock Index (ISSI …), socially responsible investing (SRI), conventional, and Islamic-SRI portfolios-in Indonesia, of which the last integrates an …
Persistent link: https://www.econbiz.de/10012816555