Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors. Trading...

This paper assesses the effectiveness of traded turnover and Amihud (2002) constructs in measuring illiquidity which is used in constructing a multifactor CAPM. The performance of this model is contrasted against GARCH and simple stochastic drift models on a unique sample of five West African...

The paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. It shows that momentum profits are not normally distributed and, relatedly, that the momentum profitability is partly a compensation for systematic negative skewness risk in line with market...