In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The...

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big stocks. Momentum premia are considerably diminished by...

This study contrasts the effectiveness of the capital asset pricing model (CAPM) against more recent augmented variants including size and book-to-market factors (Fama and French, 1993), liquidity (Liu, 2006) as well as both size and liquidity factors of Martinez et al (2005) in explaining...

This study investigates the robustness of the Fama and French three-factor model in the context of the Shanghai and Shenzhen stock exchanges spanning the period 1995–2008. We show that the three-factor model does a meaningful job in describing the cross-section of stock returns in this...

This paper assesses the effectiveness of traded turnover, Amihud (2002) and Liu (2006) metrics in measuring illiquidity, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka...

The present study examines the impact of cultural and religious festivals on the trading behavior of a sample of stocks listed on the five emerging Asian markets: Hong Kong, Indonesia, Malaysia, Singapore and Taiwan, over the years 1991-2011. I investigate the festivals' impact on stock returns...

We investigate the return premium on stocks with high earnings quality using a broad and recent global dataset covering all developed markets from 7/1988 to 6/2012. We find that a simple strategy that is long stocks with high earnings quality and short stocks with low earnings quality produces a...

Is there a size effect in the FX market? That is, do the currencies of small countries generate higher excess returns than the currencies of large countries? Using the market capitalization of a country as the measure of size, we document a strong size effect in the FX market. Size effect...

This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...

This report consists of two parts. The first part is a research note describing a comprehensive analysis of the realized return differential between small and large firms (i.e., the "size premium") in a sample of European stocks during the period between 1990 and 2018. This study establishes...