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...

This paper provides a comprehensive analysis on the stock return predictability in Turkey, January 1997 to July 2011, by employing both portfolio method and cross-sectional regressions. In the risk-related predictors, we found predictive power of beta, total volatility, and idiosyncratic...

Using data on 65,000 stocks from 23 countries, the authors re-evaluate the performance of the Fama-French (2015) factors in global markets. The results provide convincing evidence that the value, profitability, and investment factors are far less reliable than commonly thought. Their performance...