This study is an investigation into the cross-sectional determinants of stock returns in a small market - the Athens Stock Exchange - where the Fama and French portfolio grouping procedure that is normally used to counter the error in variables problem in estimating beta is problematic due to...

Stock price synchronicity has been associated with various market outcomes like the return-sentiment relations, stock liquidity, and asset pricing models. Therefore, researchers have devoted a lot of time in revealing the underlying factors that drive stock price synchronicity. Using a sample of...

We extend the U.S. bank M&As literature by examining announcement returns for acquisitions of both listed and unlisted targets by U.S. banking firms for a long period of time from the eighties till to date. Over these decades there have been implemented several regulation changes, notably the...

This paper suggests a recursive application of <link rid="b24">Fama and MacBeth's (1973)</link> testing procedure to assess the significance of macroeconomic factors and firm-specific effects priced in explaining the cross-sectional variation of expected stock returns over time. The paper applies the suggested testing...