This paper investigates the presence of time-series and cross-sectional momentum profits and the relationship between these two types of profits in the Saudi Arabia stock market. Results confirm that time-series momentum and cross-sectional contrarian profits are present in this market. The...

Purpose –Two most well-known return regularities are contrarian and momentum profits. This paper, using weekly data for the period 2002 through 2013, investigates the presence of both contrarian and momentum profits and their sources in the Bangladeshi stock market.Design/methodology/approach...

This paper looks at Bangladesh stock market completely from behavioral perspective by introducing behavioral factors in the empirical asset pricing models. Lack of data of sentiment proxies constrains authors to use only few proxies, namely, TRIN (Trading Index), trade volume (turnover), number...

Purpose The main purpose of this paper is to investigate autocorrelation structure of stock and portfolio returns in a unique market setting of Saudi Arabia, where nearly all active traders are the retail individuals and the market operates under severe limits to arbitrage. Specifically, the...