Potential benefits from international diversification depend upon the stability in stock market relationships. Using monthly data of 11 international stock markets, this paper examines the stability in stock market relationships across month of the year and across different holding intervals....

The risk premium based on the cross sectional stock returns measured by a composite expected return signal displays closely similar winter vs. summer seasonal pattern as the market return does. We observe similar seasonal pattern for the signal component market value of equity, the...

This paper examines the relation between beta and realized returns in the Korean and Taiwan stock markets. Traditional tests found that beta is unable to explain the realized returns in both markets. Though unsystematic risk, total risk, skewness and kurtosis are significantly related to returns...

Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the...

Seasonalities in asset returns, including the January effect, the Halloween effect and the same-calendar-month effect, are widely documented in the literature. We show that a number of popular factors in the empirical asset pricing literature exhibit some well-known seasonalities. Most of the...