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Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Machine learning goes global : cross-sectional return predictability in international stock markets

Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - In: Journal of economic dynamics & control 155 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014479641

Recency bias and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of international financial markets, … 84 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014333637

Misery on Main Street, victory on Wall Street : economic discomfort and the cross-section of global stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 149 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014462426

Who should be afraid of infections? : Pandemic exposure and the cross-section of stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of international financial markets, … 72 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012801522

Liquidity and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820574

When bad news is good news : geopolitical risk and the cross-section of emerging market stock returns

Zaremba, Adam; Cakici, Nusret; Demir, Ender; Long, Huaigang - In: Journal of financial stability 58 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013417457

Salience theory and the cross-section of stock returns : International and further evidence

Cakici, Nusret; Zaremba, Adam - In: Journal of financial economics 146 (2022) 2, pp. 689-725

Persistent link: https://www.econbiz.de/10013482348

False discoveries in the anomaly research : new insights from the Stock Exchange of Melbourne (1927-1987)

Cakici, Nusret; Zaremba, Adam; Bianchi, Robert; Pham, Nga - In: Pacific-Basin finance journal 70 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013392350