This paper examines the relationship between the changes in corporate governance legal system and stock return in Bursa Malaysia (formally known as Kuala Lumpur Stock Exchange, KLSE) in Malaysia for the period from 1996 to 2003. The cross-sectional evidence indicates that the corporate...

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one- to four-week) foreign exchange rate returns. We find, based on a broad sample of 63 emerging and developed market currencies, evidence of momentum rather than reversal. Momentum returns are as large as...

Price movements in industrial metals such as copper and aluminum predict stock returns. Increasing industrial metal prices are good news for equity markets in recessions and bad news in expansions. A one standard deviation increase in industrial metal returns predicts a price drop of one and a...