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A tale of idiosyncratic volatility and illiquidity shocks : their correlation and effects on stock returns

Han, Yufeng; Hu, Ou; Huang, Zhaodan - In: International review of financial analysis 86 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014248422

Cash flow duration and the term structure of equity returns

Weber, Michael - In: Journal of financial economics 128 (2018) 3, pp. 486-503

Persistent link: https://www.econbiz.de/10011981177

Are prominent equity market anomalies in India fading away?

Sharma, Gagan Deep; Subramaniam, Srividya; Sehgal, Sanjay - In: Global business review 22 (2021) 1, pp. 255-270

Persistent link: https://www.econbiz.de/10012483276

The cross-section of stock returns in an early stock market

Ye, Qing; Turner, John D. - In: International Review of Financial Analysis 34 (2014) C, pp. 114-123

Using a new dataset which contains monthly data on 1015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular...

Persistent link: https://www.econbiz.de/10010931490

Are idiosyncratic volatility and MAX priced in the Canadian market?

Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011662897

Chapter 15 Anomalies and market efficiency

Schwert, G. William - 2003

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They … are documented and analyzed in the academic literature, anomalies often seem to disappear, reverse, or attenuate. This … anomalies were simply statistical aberrations that attracted the attention of academics and practitioners. One of the …

Persistent link: https://www.econbiz.de/10014023856

What does the cross-section tell about itself? : explaining equity risk premia with stock return moments

Cooper, Ilan; Ma, Liang; Maio, Paulo - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 73-118

Persistent link: https://www.econbiz.de/10012819566

Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets

Ng, Chi Cheong Allen; Shen, Jianfu - In: Pacific-Basin finance journal 39 (2016), pp. 159-177

Persistent link: https://www.econbiz.de/10011669233

Long-term perspective on the stock market matters in asset pricing

Park, Heungju; Sohn, Bumjean - In: Finance research letters 16 (2016), pp. 162-170

Persistent link: https://www.econbiz.de/10011656148

Asset growth, profitability, and investment opportunities

Cooper, Ilan; Maio, Paulo - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 3988-4010

Persistent link: https://www.econbiz.de/10012118532