Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study finds that an...

We investigate how systematic, continuous, and discrete (jump) risk affects the cross section of expected stock returns in Southeast Asia. Using the latest econometric techniques and a high-frequency dataset, we construct two high-frequency betas associated with intraday continuous and...

The aim of this paper is to examine the validity of the four-factor asset pricing as a comparison the standard Fama-French three factor model using U.S. monthly stock return data from period January 1963 to December 2010. Monthly stock return are constructed into 25 portfolio while the...

This study explores Fama French Three Factor Model and illiquidity premium in Indonesia. The objective of this research is to find evidence about the effect from market beta, size, value, and liquidity to the stock excess return in Indonesia. We use Amihud (2002) illiquidity as a proxy for...