A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust ("EREIT") returns over bull and bear markets. No significant relationship is found between "EREIT" returns and a constant beta. However, beta explains cross-sectional returns...

This study examines seasonality in the Vietnam Stock Market Index over 10 years, since the market’s establishment on July 28th, 2000 until December 31st, 2010. The study found significant positive returns in April and significant negative returns in July for the VN-Index. Also, the...

We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return...

Thirty-eight years of U.S. data indicate that U.S. monetary policy continues to have a strong relationship with security returns. U.S. stock returns are consistently higher and less volatile when the Federal Reserve is following an expansive monetary policy. Furthermore, the monetary...

Using 24 years of data, we show that emerging market equities are a worthy addition to a U.S. investor's portfolio of developed market equities. Specifically, portfolio returns increased by approximately 1.5 percentage points a year when emerging country equities were included in the investment...

Previous research finds that large companies previously judged to be excellent growth companies have subsequently been poor investments. Our study examines small companies selected by Business Week on the basis of multiple criteria used in annual articles featuring highly rated growth companies....

We evaluate the investment benefits of dividend-paying stocks and make three major findings. First, high-dividend stocks have the least risk, yet return over 1.5% more per year than non-dividend payers. Second, the benefit of targeting dividend payers is conditional on investment style....

Unlike previous papers, which have focused on the timeliness ranks, we examine Value Line's 3-5 year projections for stock returns, earnings, sales and related measures. We find that Value Line's stock return and earnings forecasts exhibit large positive bias, although their sales predictions do...

Previous research finds that large companies previously judged to be excellent growth companies have subsequently been poor investments. We examine small companies selected by "Business Week" on the basis of multiple criteria used in annual articles featuring highly rated growth companies. We...