We investigate the long-term performance of firms added to or deleted from the Hang Seng Index from 1986 to 2008. The stocks newly deleted from the Hang Seng Index have abnormal returns over a 5-year holding period and the newly added stocks do not. The deleted stocks outperform the added...

We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks...

This study provides evidence of the conditional effect on market beta, firm size, book-to-market equity ratio (B/M), and earnings-to-price ratio (E/P) to the cross-section of monthly portfolio excess returns in two Asian emerging stock markets: Malaysia and Thailand. Beta may not be a suitable...

The risk-return relationship is one of the fundamental concepts in finance that is most important to investors and portfolio managers. Finance theory argues that the beta or systematic risk is the only relevant risk measure for investors. However, many studies have showed that betas and returns...

A recent article published in International Business Review (12 (2003) 109) argues for the usefulness of beta as a measure of risk in international stock markets. The beta-return relationship is significantly positive (negative) when the market excess returns are positive (negative). This paper...

International managers need to manage foreign exchange rate risks effectively in order to maximize the value of the firm. Modern portfolio theory suggests that exchange rate risks can be reduced through currency portfolio diversification. However, little attention has been paid in the literature...

Diversification and day-of-the-week effects on exchange rate risks have been well documented in the literature, but separately. This paper studies empirically the interaction of diversification and day-of-the-week effects on exchange rate risks. The results show that different days have great...

Standard textbooks of Investment/Financial Management teach that although portfolio diversification can help reduce investment risk without sacrificing the expected rate of return, the benefit of diversification is exhausted with a portfolio size of 10-15. Since by then, most of the...