Momentum profits collapse and reversal occurs when preceding market volatility is relatively high. Based on these intertemporal patterns, we implement an investment strategy that switches from momentum to reversal when volatility is high. The proposed switching strategy has two advantages over...

This paper finds that a zero-investment strategy that goes long (short) in the highest (lowest) quintiles of firm-specific risk earns overall positive excess returns across twenty-one emerging markets. Interestingly, in previous studies such returns were found to be negative for the US and...

This study examines the ability of investor sentiment to predict conditional volatility and excess returns at both aggregate market and industry level in Pakistani stock market. Following the top-down-approach, a broad band investor sentiment index for Pakistan has been developed to empirically...

Kolari, Liu, and Huang (2021) recently proposed and empirically tested a new asset pricing model dubbed the ZCAPM that consistently outperformed popular multifactor models using U.S. stock returns. Is the ZCAPM a false discovery? As verification, this paper provides international stock return...

The evaluation for the specification errors of asset pricing models is conducted using size-BM, size-MOM and industry portfolios (21) for Finnish stock market. The Finnish market is taken as a test case for equity markets where few firms dominate the total market capitalization. We report...