Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

The causality relationships and cumulative impacts of the lags of earnings and the lags of capital expenditure on subsequent annual stock returns is examined using 40 different countries. The results suggest that there is a granger causality relationship from earnings to returns. Furthermore,...

GVC will affect stock returns and there is a stock return co-movement along GVCs. Meanwhile, the stock return co-movement is formed through two channels. The first channel is the correlation among fundamentals of firms, which will directly affect their stock return. The second is the common risk...

This thesis investigates value and momentum effects in the U.S. market after the recent financial crisis as well as for other periods. Many researchers contend that market anomalies exist in the two popular forms, value and momentum effects, and have studied where abnormal profits arise. Not...

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international ontext (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...