basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in … practice by a large institutional investor, facing a lack of liquidity, restrictions onforeign ownership and substantial … liquidity ofthe strategies. Instead, based on the developments of earnings and earnings revisions afterportfolio formation, we …

liquidity demander exploiting access to allmarkets by optimally splitting orders across markets. This paper seeks to test this …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm …

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are … more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …