Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...

In this paper, we examine whether the size effect is present in four European markets viz. France, Germany, Spain and Italy. We also investigate whether the size effect can be explained through the sources as available in the literature. We employ prominent asset pricing models to ascertain if...

This study investigates the impact of firm size on shareholder value by examining the cumulative abnormal returns (CAR) around foreign direct investment (FDI) announcements. We find that firm size, as measured by the logarithm of its asset, is positively correlated with CAR when CAR is negative,...

We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the...