Over the last two decades, exchange traded funds (ETFs) have become a preferred investment vehicle to make directional market bets due to their low costs and high liquidity. Moreover, due to the arbitrage activities of authorized participants, prices of ETFs do not deviate materially from the...

We investigate the relationship between expected returns and liquidity measures in Borsa Istanbul. To do so, we gather a wide range of illiquidity measures that can be applied to the market. Firm-level cross-sectional regressions indicate that there is a positive relationship between various...

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

This paper examines the existence of mood seasonality, documented by Hirshleifer et al. (2020, JFE) for the cross-section of US equity returns, in an international setting. First, we confirm the results of the original study. Next, we extend these findings to non-US markets and show that a...

This paper utilizes an international context and revisits the findings which argue that the positive relation between book-to-market ratio and future equity returns is driven by historical changes in firm size in the US. After confirming these results in the US setting both in the original and a...

This study investigates the relation between firm-specific attributes and future equity returns in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short-term momentum (rather than reversal) and medium-term return momentum. We also find evidence that market beta,...