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The Role of Beta and Size in the Cross-Section of European Stock Returns
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- Robert Faff, 2001. "An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors," Australian Journal of Management, Australian School of Business, vol. 26(1), pages 1-17, June.
- Ettore Croci, 2007. "Corporate Raiders, Performance and Governance in Europe," European Financial Management, European Financial Management Association, vol. 13(5), pages 949-978, November.
- de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012.
"The cross-section of stock returns in frontier emerging markets,"
Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
- de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004.
"Do countries or industries explain momentum in Europe?,"
Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September.
- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," Discussion Paper 2002-9, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," ERIM Report Series Research in Management ERS-2002-91-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," Other publications TiSEM 8cea7ebd-d3f6-493c-bf65-3, Tilburg University, School of Economics and Management.
- Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004. "Do countries or industries explain momentum in Europe?," Other publications TiSEM 73c21ccd-7c67-4e11-8eac-5, Tilburg University, School of Economics and Management.
- Derek Jun & Burton G. Malkiel, 2008. "New Paradigms in Stock Market Indexing," Working Papers 1050, Princeton University, Department of Economics, Center for Economic Policy Studies..
- repec:dau:papers:123456789/2514 is not listed on IDEAS
- James Foye, 2015. "A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe," Proceedings of International Academic Conferences 2604415, International Institute of Social and Economic Sciences.
- Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 1-18, February.
- Robert Faff, 2004. "A simple test of the Fama and French model using daily data: Australian evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 83-92.
- Marie-Paule Laurent, 2003. "Indices as diversification instruments in Europe," Working Papers CEB 03-004.RS, ULB -- Universite Libre de Bruxelles.
- Adam Zaremba & Rados³aw ¯mudziñski, 2014. "The Low Price Effect On The Polish Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(1), pages 69-85, June.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
- Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
- Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
- Amir Amel†Zadeh, 2011. "The Return of the Size Anomaly: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 17(1), pages 145-182, January.
- repec:dau:papers:123456789/2167 is not listed on IDEAS
- Adam Zaremba & Przemys³aw Konieczka, 2016. "Paper profits from value, size and momentum: evidence from the Polish market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 11(3), pages 58-69, February.
- Dar-Hsin Chen & Chun-Da Chen & Su-Chen Wu, 2014. "VaR and the cross-section of expected stock returns: an emerging market evidence," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(3), pages 441-459, June.
- Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
- Asgharian, Hossein & Hansson, Bjorn, 2003. "The explanatory role of factor portfolios for industries exposed to foreign competition: evidence from the Swedish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 325-353, October.
- Kent Daniel & Sheridan Titman & K.C. John Wei, 2001.
"Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?,"
Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
- Kent Daniel & Sheridan Titman & K.C. John Wei, 1999. "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?," NBER Working Papers 7246, National Bureau of Economic Research, Inc.
- George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
- Wallmeier, Martin & Tauscher, Kathrin, 2012. "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers 433, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Carosi, Andrea, 2016. "Do local causations matter? The effect of firm location on the relations of ROE, R&D, and firm SIZE with MARKET-TO-BOOK," Journal of Corporate Finance, Elsevier, vol. 41(C), pages 388-409.
- Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
- Ahn, Dong-Hyun & Min, Byoung-Kyu & Yoon, Bohyun, 2019. "Why has the size effect disappeared?," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 256-276.
- van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
- Nader Virk & Hilal Butt, 2016. "Specification errors of asset-pricing models for a market characterized by few large capitalization firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 68-84, January.
- Manuel Ammann & Michael Verhofen, 2008. "Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach," European Financial Management, European Financial Management Association, vol. 14(3), pages 391-418, June.
- Peter S. Schmidt & Urs von Arx & Andreas Schrimpf & Alexander F. Wagner & Andreas Ziegler, 2019. "Common risk factors in international stock markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 213-241, September.
- repec:dau:papers:123456789/4169 is not listed on IDEAS
- Hongwei Chuang, 2021. "How Much Does Nominal Share Price Matter?," Working Papers EMS_2021_01, Research Institute, International University of Japan.
- Frans de Roon & Marta Szymanowska, 2012. "Asset Pricing Restrictions on Predictability: Frictions Matter," Management Science, INFORMS, vol. 58(10), pages 1916-1932, October.
- Derek Jun & Burton G. Malkiel, 2008. "New Paradigms in Stock Market Indexing," Working Papers 1050, Princeton University, Department of Economics, Center for Economic Policy Studies..
- De Moor, Lieven & Sercu, Piet, 2013.
"The smallest firm effect: An international study,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
- De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Rob Bauer & Mathijs Cosemans & Peter C. Schotman, 2010. "Conditional Asset Pricing and Stock Market Anomalies in Europe," European Financial Management, European Financial Management Association, vol. 16(2), pages 165-190, March.
- Christian Walkshäusl & Sebastian Lobe, 2014. "The Alternative Three†Factor Model: An Alternative beyond US Markets?," European Financial Management, European Financial Management Association, vol. 20(1), pages 33-70, January.
- Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
- Asgharian, Hossein & Hansson, Björn, 2002. "Cross Sectional Analysis of the Swedish Stock Market," Working Papers 2002:19, Lund University, Department of Economics.
- Edward Lee & Weimin Liu & Norman Strong, 2007. "UK Evidence on the Characteristics versus Covariance Debate," European Financial Management, European Financial Management Association, vol. 13(4), pages 742-756, September.
- repec:dau:papers:123456789/3005 is not listed on IDEAS
- repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
- Zaremba Adam & Konieczka Przemysław, 2017. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(3), pages 26-47, September.
- Kathrin Tauscher & Martin Wallmeier, 2016. "Portfolio Overlapping Bias in Tests of the Fama–French Three†Factor Model," European Financial Management, European Financial Management Association, vol. 22(3), pages 367-393, June.
- Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.