This study provides an overview of the model evolution and research trends in the field of financial and risk modelling by applying a bibliometric approach from 2008–2019 and an overall citation network analysis. We present a content analysis of contributing authors, countries, journals, main...

This paper studies the relation between 36 firm-level characteristics and stock returns in 48 countries using instrumented principal components analysis (IPCA). A non-U.S. country-neutral conditional factor model performs well in describing risk and returns and generates small and statistically...

Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify equity market mispricings. We extend the existing research from the United States to international equity markets by investigating the return-predictive characteristics of the...

When value and glamour stocks missed earnings expectation targets, what happened to their stock prices over the following year? Prices of value stocks increased when earnings expectations were beat and missed - and even when business fundamentals deteriorated. Glamour stocks behaved more...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

The study investigates the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in three ways. First, we provide fresh evidence for value, size and momentum premiums in country returns. Second, we show that these premiums are robust to...

Cross-border real estate investing offers opportunities for enhanced diversification. Investors often begin real estate investing domestically because local opportunities are more familiar and easier to undertake than cross-border (international) investments. As investors gain experience...

Using a comprehensive international dataset of institutional investor holdings, we study social trust as a source of institutional investment biases. Our findings indicate that national trust-levels affect the investment allocation of institutional investors between domestic and foreign equity...

We examine insider trades around the onset of the COVID-19 pandemic. Insiders purchased shares in record numbers after the stock market decline that began in late February 2020. We find that insider purchases were more pronounced for larger firms, value firms, firms with high levels of leverage...

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...