In this paper I show that the lead-lag pattern between large and small market value portfolio returns is consistent with differential variations in their expected return components. I find that the larger predictability of returns on the portfolio of small stocks may be due to a higher exposure...

We investigate the profitability of momentum investment strategy in six Asian stock markets. Unrestricted momentum investment strategies do not yield significant momentum profits. Although we find that a diversified country-neutral strategy generates small but statistically significant returns...

The August 1998 Hong Kong government intervention in the stock market offers a natural experiment for studying the relation between a free float and market liquidity, where a free float is the portion of listed share capital that is freely traded on the market. Our findings show that, relative...