This paper undertakes a comparison between five multifactor variants of the capital asset pricing model, where this is augmented by size, book to market value, momentum, liquidity and a new investor protection metric based on the product of institutional quality in a country and the proportion...

This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...