significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage … portfolio returns for four well-known anomalies (size, value, momentum and beta) in 21 developed stock markets and more advanced … statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage … portfolio returns for four well-known anomalies (size, value, momentum and beta) in 21 developed stock markets and more advanced … statistical methodology (quantile regressions, Markov regime-switching models, panel estimation procedures), we arrive at two …

This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations … between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace … finds significantly negative effects of abnormal volume on stock excess return under low quantile levels, nevertheless there …