) factors in global markets. The results provide convincing evidence that the value, profitability, and investment factors are …. Furthermore, most factor returns are driven by the smallest firms. Virtually no value or investment effects are present among the …

study: (1) small and value stocks are less risky investment avenues than large and growth stocks, and (2) political …

firm-level profitability measures, calculated from different combinations of measures of earnings and scaling variables. We …

Recent findings for the U.S. stock market indicate that cash-based profitability measures (i.e., profitability measures … that exclude accounting accruals) outperform measures of profitability that include accruals. We demonstrate that this … result also holds for international markets. In a comparison of different profitability definitions, we find that a factor …

strategies. Motivated by these studies, we examine the relationship between cognitive biases and the profitability of price and … level of individualism in different countries is positively associated with the profitability of price and earnings momentum … correlated with price momentum profits. Collectively, our findings suggest that the variation in the profitability of price and …

) and find that a modified MF which uses gross profits as a measure of profitability yields significant abnormal returns for …