This paper examines stock market volatility measured by either “beta-volatility” or by the standard deviation of stock returns over 1995–2007. In our dynamic panel data framework, after controlling for size, turnover, and real output growth, we find some support to increases in financial...

Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap U.S. stocks. We address previous criticisms that losers' gains are not due to overreaction but due to their tendency to be thinly traded and...

This paper examines stock market volatility measured by either “beta-volatility” or by the standard deviation of stock returns over 1995-2007. In our dynamic panel data framework, after controlling for size, turnover, and real output growth, we find some support to increases in financial...

We investigate the association between African real stock returns and stock liquidity for sixteen countries over the years 1995–2010. Using fixed effect models (FEM) and system generalized method of moments (SGMM), stock returns and liquidity measures are positively related when South Africa...

We investigate the association between African real stock returns and stock liquidity for sixteen countries over the years 1995-2010. Using fixed effect models (FEM) and system generalized method of moments (SGMM), stock returns and liquidity measures are positively related when South Africa is...

We examine the performance of a sample of 116 ADRs and 536 U.S. stocks in October 2007 and October 2008 using a one-year buy and hold methodology. The stocks and ADRs in this study are listed on the U.S. stock exchanges. We compare their performance when the U.S. stock market was relatively high...