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Idiosyncratic volatility, momentum, liquidity, and expected stock returns in developed and emerging markets

Switzer, Lorne N.; Picard, Alan - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 169-221

Persistent link: https://www.econbiz.de/10011434211

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10011539896

Size, value, and momentum in emerging market stock returns : integrated or segmented pricing?

Hanauer, Matthias X.; Linhart, Martin - In: Asia-Pacific journal of financial studies 44 (2015) 2, pp. 175-214

Persistent link: https://www.econbiz.de/10011458939

Carry trades and commodity risk factors

Byrne, Joseph P.; Ibrahim, Boulis Maher; Sakemoto, Ryuta - In: Journal of international money and finance 96 (2019), pp. 121-129

Persistent link: https://www.econbiz.de/10012139634

How underlying dimensions of political risk affect excess return in emerging and developed markets

Nesset, Ida Q.; Bøgeberg, Ingrid; Kjærland, Frode; … - In: Journal of emerging market finance 18 (2019) 1, pp. 80-105

Persistent link: https://www.econbiz.de/10012013136

Global risk aversion and emerging market return comovements

Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın - In: Economics letters 173 (2018), pp. 118-121

Persistent link: https://www.econbiz.de/10012022952

Extreme daily returns and the cross-section of expected returns : evidence from Brazil

Berggrun, Luis; Cardona, Emilio; Lizarzaburu, Edmundo - In: Journal of business research : JBR 102 (2019), pp. 201-211

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Value premium and country risk as conditional risk factors in major Latin American markets

Medeiros, Lilian de Castro; Bressan, Aureliano Angel - In: Latin American business review : journal of the … 16 (2015) 3, pp. 227-254

Persistent link: https://www.econbiz.de/10011392406

On the determinants of expected corporate bond returns in Tunisia

Hammami, Yacine; Bahri, Maha - In: Research in international business and finance 38 (2016), pp. 224-235

Persistent link: https://www.econbiz.de/10011640643

Liquidity and equity returns in Borsa Istanbul

Atilgan, Yigit; Demirtas, K. Ozgur; Gunaydin, A. Doruk - In: Applied economics 48 (2016) 52/54, pp. 5075-5092

Persistent link: https://www.econbiz.de/10011644805

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