The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the...

This study reexamines the long-term reversal anomaly across international stock market indices. We investigate a comprehensive and up-to-date sample of 74 countries for years 1995-2015. By controlling for country-level value, size and momentum effects, we provide convincing evidence that the...

In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks' liquidity commonality that include reducing the stocks' liquidity commonality with the local market and increasing...

The paper concentrates on the value premium across countries and contributes to the nvestment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is...

The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a...

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

The benefits of country diversification are well-established. This article shows that the same benefits extend to equity factors, such as value, size, momentum, investment, and profitability. Specifically, country factor portfolios reflect both common variation, which we define as the global...

Prior empirical evidence regarding the impact of dividend taxes, corporate taxes, and corporate governance on firm valuation is inconclusive. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their...

The FIFA World Cup™ is not only one of the most popular sporting events in the world: it is also famous for the extraordinary amount of sponsorship fees it attracts. To make sense economically, these sponsorship expenses should promise future cash flows that would make the investment...