In this paper we examine the variables that explain the cross-section of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However, we control for different realised risk premia in up...

We test for the presence of momentum profits in the UK over the period 1977 to 1998. The analysis shows that significant momentum profits are present in both a comprehensive sample of UK stocks and an accounting sub-sample. An analysis of sub-period results, seasonal effects, and the persistence...

There are important organizational and behavioral differences between firms in emerging markets and those in developed markets. We propose a top-down approach to understand how key institutional forces shape the structures and policies of firms in emerging markets. We review a selective set of...

Testing the equality of two independent normal populations is a perfect case of the two-sample problem, yet it is not treated in the main text of any textbook or handbook. In this article, we derive the exact distribution of the likelihood ratio test and implement this test with an R function....