Practitioners and academics often consider IPO activity as a gauge of investor optimism and market valuation. This study investigates the cross-sectional implications of this concept at the country level. We use sorting and cross-sectional tests to examine linkages between past share issuance...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Terrorism is a major issue in the 21st century. In this paper we examine the effect of terrorism on the stock market. We go beyond previous studies to explore the spectre of terrorism on the market rather than terrorist activities. Using a narrative-based approach à la Shiller (2019), we find...

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses weekly composite index data for SASE (Sarajevo Stock...

We estimate consumption based asset pricing models using consumption and equity market data for fifteen countries from 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption CAPM that prices international stock returns via their...

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Are the quantitative equity strategies for country selection robust to implementation costs? To answer this question, we conduct a comprehensive examination of the country-level strategies so far. We review, classify, and replicate 120 equity anomalies within a sample of 42 country equity...

We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure, change in volume), and short-term...

In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...