We investigate the performance of the alternative three-factor model across markets. The important U.S. evidence of Chen, Novy-Marx, and Zhang (2010) in favor of the alternative model does not translate to a test setting using data from 40 non-U.S. stock markets. The three-factor model of Fama...

Analysing 5 exchange traded funds (ETFs) and 26 index certificates, this is a comprehensive intraday study combining the perspective of information dissemination and pricing quality. We focus on the Volkswagen extreme event day on 28 October 2008, where a breakdown of the futures-cash arbitrage...