Many previous studies document a robust premium for value versus growth stocks in international markets. We show that this premium is driven by few years where High Minus Low (HML) returns are high and significant. For instance, for 12 European markets the HML return is statistically...

The paper employs government bond portfolios from 17 countries so as to investigate the short-run reaction of investors to price shocks. The findings indicate a uniform return reversal pattern across countries, that persists irrespective of various robustness tests such as different data-sets...

We examine short-run patterns in government bond returns after market-moving events. Our sample covers government bond series from 17 developed countries. We find that abnormal returns follow momentum for about two weeks following an event and then reverse for a period of up to 60 days after the...

In this paper, we empirically investigate the relationship between equity and credit market development and economic growth, in a sample of five very important 'emerging' markets. In particular, we employ a multivariate time-series methodology to test for long-run trends and causality between...