We show that merger announcement returns account for virtually all of the measured size premium. An empirical proxy for … ex ante takeover exposure positively and robustly relates to cross-sectional expected returns. The relation between size … and expected returns becomes positive or insignificant, rather than negative, conditional on this takeover characteristic …

further differentiation undertaken between sub samples formed for Japan only and Asia excluding Japan for period January 2000 … asset pricing model (CAPM) framework are ineffective in explaining the cross section of stock returns in the presence of … universe. We find that momentum factor largely lacks significance while a time varying two factor model, based on CAPM plus …