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Can investor sentiment predict the size premium?
Qadan, Mahmoud; Aharon, David Y. - In: International review of financial analysis 63 (2019), pp. 10-26
Persistent link: https://www.econbiz.de/10012207362
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Santa Claus Rally and firm size
Washer, Kenneth M; Nippani, Srinivas; Johnson, Robert R - In: Managerial Finance 42 (2016) 8, pp. 817-829
Purpose – Several articles in the popular press have detailed an end-of-year anomaly known as the Santa Claus Rally, a period best defined as the last five trading days of December and the first two trading days of January. The purpose of this paper is to examine US stock market returns over...
Persistent link: https://www.econbiz.de/10014941831
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The role of shorting, firm size, and time on market anomalies
Israel, Ronen; Moskowitz, Tobias J. - In: Journal of financial economics 108 (2013) 2, pp. 275-301
Persistent link: https://www.econbiz.de/10009749340
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Market states and the risk-based explanation of the size premium
Hur, Jungshik; Pettengill, Glenn N.; Vivek Singh - In: Journal of empirical finance 28 (2014), pp. 139-150
Persistent link: https://www.econbiz.de/10011285079
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Noisy information and the size effect in stock returns
Vanden, Joel M. - In: Annals of finance 11 (2015) 1, pp. 77-107
Persistent link: https://www.econbiz.de/10011376171
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The cross-section of stock returns in an early stock market
Ye, Qing; Turner, John D. - In: International review of financial analysis 34 (2014), pp. 114-123
Persistent link: https://www.econbiz.de/10010528463
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Forecasting the size premium over different time horizons
Zakamulin, Valeriy - In: Journal of banking & finance 37 (2013) 3, pp. 1061-1072
Persistent link: https://www.econbiz.de/10009708710
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The cross-section of stock returns in an early stock market
Ye, Qing; Turner, John D. - 2014
Using a new dataset which contains monthly data on 1,015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular...
Persistent link: https://www.econbiz.de/10010362246
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Unlocking the secrets of fundamental indexes : size effect or value effect? ; evidence from emerging stock markets
Hsieh, Heng-hsing - In: Investment management and financial innovations 10 (2013) 4, pp. 48-64
Persistent link: https://www.econbiz.de/10010258446
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The stock performance of family firms in the Portuguese market
Miralles Marcelo, José Luis; Miralles-Quirós, María … - In: Applied financial economics 23 (2013) 22/24, pp. 1721-1732
Persistent link: https://www.econbiz.de/10010336271