Purpose: Previous research has found that industry concentration and firm efficiency affect stock returns. However, it is not clear if concentration is a byproduct of efficiency and hence its effect on stock returns is driven by efficiency. This paper aims to examine the relationships between...

This paper examines the impact of financial contagion resulting from global financial crises based on analyses of the global value premium as represented by thirteen countries. We propose a new model that is a composite of the asymmetric GARCH model and the Fama–French two factor model. Then...