This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as...

Purpose - The purpose of this paper is to determine the impact of corporate investments in corporate social responsibility (CSR), measured by the environmental, social and government (ESG) rating, on the market valuation of a firm's stocks and to explain the regional differences in the degree of...

This paper examines the profitability of dual moving average crossover (DMAC) trading strategies in the Russian stock market over the 2003–2012 period. It contributes to the existing technical analysis (TA) literature by testing, for the first time, the applicability of ordered weighted moving...