This paper studies the impact of a change in promoter shareholding on small-cap-value stocks. NIFTY Small Cap 250 index stocks within the top 20th percentile of the book-to-market (B/M) ratio of the same universe have been considered for this study. The paper uses regression analysis for...

We construct a general equilibrium New-Keynesian model in which firms differ in characteristics such as size, book value, sensitivity to market demand and degree of price stickiness. This establishes an explicit economic relation between firm level characteristics and the relationship between...

We find a positive relation between returns and Book-to Market ratio (BE/ME) and a negative relation between returns and Market Value (MVE) in all the countries we study. The BE/ME and MVE "effects" are international in character and remain strong under a general stochastic pricing function that...

In this paper I carry out an empirical evaluation for the Spanish market data of an asset pricing model based on the proposal of Campbell (1993). Due to the loglinear aproximation to the budget constrain that the author makes, a model arises that does not need consumption data among the...

Employing the portfolio method and cross-sectional regressions, this paper provides a comprehensive analysis of stock return predictability in Turkey from January 1997 to July 2011. In the risk-related predictors, we found predictive power for beta, total volatility, and idiosyncratic...

In this study, the impact of firm size and book-to-market ratio on the stock returns of the ISE companies is investigated. Four different models are employed to explain stock returns. These models are, capital asset pricing model, two-factor model including market factor and firm size,...

This paper provides an analysis of the effectiveness of certain return predictors in Taiwan Stock Exchange (TWSE) from January 1990 to December 2011 by employing both portfolio method and cross-sectional regressions. While we found no statistically significant predictive power of beta, total...