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Local Return Factors and Turnover in Emerging Stock Markets

Citations

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Cited by:

  1. Sana Tauseef & Mohammad Nishat, 2018. "Can investors benefit from momentum trading? Evidence from an emerging market," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 13(1), pages 21-36, January-J.
  2. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
  3. van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005. "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, vol. 6(3), pages 238-262, September.
  4. Avanidhar Subrahmanyam, 2008. "Behavioural Finance: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 14(1), pages 12-29, January.
  5. Lesmond, David A., 2005. "Liquidity of emerging markets," Journal of Financial Economics, Elsevier, vol. 77(2), pages 411-452, August.
  6. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
  7. Yasuhiro Iwanaga & Takehide Hirose & Tomohiro Yoshida, 2024. "Decomposing the Momentum in the Japanese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 221-250, June.
  8. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  9. Bryan Foltice & Thomas Langer, 2015. "Profitable momentum trading strategies for individual investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 85-113, May.
  10. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
  11. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
  12. Somya Tyagi & Sikandar Siddiqui, 2017. "Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 4(2), pages 61-67.
  13. Dellas, Harris & Hess, Martin, 2005. "Financial development and stock returns: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 891-912, October.
  14. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  15. Hsiao-Peng Fu & Andrew Wood, 2010. "Momentum in Taiwan: seasonality matters!," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1247-1253.
  16. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  17. Dierkes, Maik & Krupski, Jan, 2022. "Isolating momentum crashes," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 1-22.
  18. Jaehyung Choi, 2011. "Spontaneous symmetry breaking of arbitrage," Papers 1107.5122, arXiv.org, revised Apr 2012.
  19. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
  20. repec:dgr:rugsom:03e22 is not listed on IDEAS
  21. Xuan Vinh Vo & Thi Tuan Anh Tran, 2021. "Higher-order comoments and asset returns: evidence from emerging equity markets," Annals of Operations Research, Springer, vol. 297(1), pages 323-340, February.
  22. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
  23. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
  24. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
  25. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, vol. 27(1), pages 63-82, March.
  26. Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
  27. Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 403-425, September.
  28. Turan G. Bali & Robert F. Engle & Yi Tang, 2017. "Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns," Management Science, INFORMS, vol. 63(11), pages 3760-3779, November.
  29. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
  30. Bo Hansson, 2004. "Human Capital and Stock Returns: Is the Value Premium an Approximation for Return on Human Capital?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 333-358.
  31. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  32. L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
  33. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  34. 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.
  35. Hou, Yang & Meng, Jiayin, 2018. "The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment," MPRA Paper 94838, University Library of Munich, Germany.
  36. Goriaev, Alexei & Zabotkin, Alexei, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Emerging Markets Review, Elsevier, vol. 7(4), pages 380-397, December.
  37. Ho, Hwai-Chung & Wang, Hsiao-Chuan, 2018. "Momentum lost and found in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 38(C), pages 60-82.
  38. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  39. 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.
  40. Estrada, Javier & Serra, Ana Paula, 2005. "Risk and return in emerging markets: Family matters," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 257-272, July.
  41. Ye Bai & Christopher Green, 2011. "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, vol. 41(1), pages 81-102, August.
  42. Dr. Humberto Valencia Herrera, 2015. "Decomposition of the Stocks Returns in the Sustainable Index of the Mexican Stock Exchange," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
  43. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002. "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 243-265, June.
  44. Chan, Howard W. & Faff, Robert W., 2003. "An investigation into the role of liquidity in asset pricing: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 555-572, November.
  45. Naughton, Tony & Truong, Cameron & Veeraraghavan, Madhu, 2008. "Momentum strategies and stock returns: Chinese evidence," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 476-492, September.
  46. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
  47. Eric Girard & Halil Kiymaz, 2009. "The Risk Factors Associated With Investing In An Emerging Equity Market During The Eu Membership Process," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(1), pages 1-17.
  48. Mostafa Saidur Rahim Khan & Naheed Rabbani, 2017. "Momentum in stock returns: evidence from an emerging stock market," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 10(2), pages 191-204, May.
  49. Cavalcante-Filho, Elias & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2022. "US risk premia under emerging markets constraints," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 217-230.
  50. Hatemi-J, Abdulnasser & Sarmiento-Sabogal, Julio, 2013. "An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 57-67.
  51. Yang, Yunlin & Gebka, Bartosz & Hudson, Robert, 2019. "Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies," Research in International Business and Finance, Elsevier, vol. 47(C), pages 78-101.
  52. Moreno, David & Olmeda, Ignacio, 2007. "Is the predictability of emerging and developed stock markets really exploitable?," European Journal of Operational Research, Elsevier, vol. 182(1), pages 436-454, October.
  53. Fan, Minyou & Li, Youwei & Liu, Jiadong, 2018. "Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches," Research in International Business and Finance, Elsevier, vol. 46(C), pages 131-140.
  54. Bange, Mary M. & Miller, Thomas Jr., 2004. "Return momentum and global portfolio allocations," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 429-459, September.
  55. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  56. Diana MURESAN & Monica Ioana POP SILAGHI, 2013. "Turnover And Market Value In Capital Markets In The European Union," Romanian Journal of Economics, Institute of National Economy, vol. 37(2(46)), pages 80-90, December.
  57. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
  58. Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2021. "Return signal momentum," Journal of Banking & Finance, Elsevier, vol. 124(C).
  59. Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015. "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 194-213.
  60. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  61. Jaehyung Choi, 2014. "Maximum drawdown, recovery, and momentum," Papers 1403.8125, arXiv.org, revised Sep 2021.
  62. Jacobs, Heiko, 2016. "Market maturity and mispricing," Journal of Financial Economics, Elsevier, vol. 122(2), pages 270-287.
  63. Ran Lu-Andrews & John L. Glascock, 2017. "Liquidity, Price Behavior, and Market-related Events," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 318-351, March.
  64. Kassimatis, Konstantinos & Spyrou, Spyros & Galariotis, Emilios, 2008. "Short-term patterns in government bond returns following market shocks: International evidence," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 903-924, December.
  65. Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
  66. Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
  67. Blitz, David & Pang, Juan & van Vliet, Pim, 2013. "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 31-45.
  68. Harris Dellas & Martin K. Hess, 2002. "Financial Development and the Sensitivity of Stock Markets to External Influences," Review of International Economics, Wiley Blackwell, vol. 10(3), pages 525-538, August.
  69. De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  70. Ali Fayyaz Munir & Shahrin Saaid Shaharuddin & Mohd Edil Abd. Sukor, 2020. "Long-Term, Short-Term and Time-Varying Profitability of Reversals: The Role of Market State and Volatility," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 501-520.
  71. Antonina Waszczuk, 2013. "Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(19), pages 1497-1508, October.
  72. Mostafa Saidur Rahim Khan, 2017. "Market States and Momentum: Evidence from the Dhaka Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-19, June.
  73. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  74. Zaremba, Adam & Czapkiewicz, Anna, 2017. "Digesting anomalies in emerging European markets: A comparison of factor pricing models," Emerging Markets Review, Elsevier, vol. 31(C), pages 1-15.
  75. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
  76. Sam Agyei‐Ampomah, 2007. "The Post‐Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK," European Financial Management, European Financial Management Association, vol. 13(4), pages 776-802, September.
  77. Sheridan Titman & Matthias Hanauer, 2014. "Is Japan Different? Evidence on Momentum and Market Dynamics," International Review of Finance, International Review of Finance Ltd., vol. 14(1), pages 141-160, March.
  78. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2010. "The plausibility of risk estimates and implied costs to international equity investments," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 623-644, September.
  79. Li, Bo & Liu, Zhenya & Teka, Hanen & Wang, Shixuan, 2023. "The evolvement of momentum effects in China: Evidence from functional data analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
  80. Hao, Ying & Chou, Robin K. & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2018. "The 52-week high, momentum, and investor sentiment," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 167-183.
  81. Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01 [rev.], University of Cologne, Centre for Financial Research (CFR).
  82. Saumya Ranjan Dash & Jitendra Mahakud, 2014. "Do Asset Pricing Models Explain Size, Value, Momentum and Liquidity Effects? The Case of an Emerging Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 217-251, December.
  83. Eun, Cheol S. & Huang, Wei, 2007. "Asset pricing in China's domestic stock markets: Is there a logic?," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 452-480, November.
  84. 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.
  85. Glaser, Markus & Nöth, Markus & Weber, Martin, 2003. "Behavioral Finance," Sonderforschungsbereich 504 Publications 03-14, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  86. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
  87. Białkowski, Jędrzej & Yaghoubi, Mona, 2021. "The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  88. 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.
  89. Batten, Jonathan A. & Vo, Xuan Vinh, 2015. "Foreign ownership in emerging stock markets," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 15-24.
  90. Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
  91. Vibhuti Vasishth & Sanjay Sehgal & Gagan Sharma, 2021. "Size Effect in Indian Equity Market: Myth or Reality?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 101-119, March.
  92. Eurilton Araújo & Ricardo D. Brito & Antonio Z. Sanvicente, 2021. "Long‐term stock returns in Brazil: Volatile equity returns for U.S.‐like investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6249-6263, October.
  93. Serra, Ana Paula, 2000. "Country and industry factors in returns: evidence from emerging markets' stocks," Emerging Markets Review, Elsevier, vol. 1(2), pages 127-151, September.
  94. Bae, Kee-Hong & Chan, Kalok & Ng, Angela, 2004. "Investibility and return volatility," Journal of Financial Economics, Elsevier, vol. 71(2), pages 239-263, February.
  95. Huang, Alex YiHou, 2024. "Mechanisms of overpricing: An investigation on momentum crashes," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 118-142.
  96. Luis Muga & Rafael Santamaria, 2007. "The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 637-650.
  97. Daniel Chai & Manapon Limkriangkrai & Philip Inyeob Ji, 2017. "Momentum in weekly returns: the role of intermediate-horizon past performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 45-68, April.
  98. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  99. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
  100. Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
  101. Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
  102. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
  103. Koedijk, Kees G. & Kool, Clemens J. M. & Schotman, Peter C. & van Dijk, Mathijs A., 2002. "The cost of capital in international financial markets: local or global?," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 905-929, November.
  104. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
  105. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
  106. Keith Lam & Frank Li, 2008. "The risk premiums of the four-factor asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1667-1680.
  107. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
  108. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
  109. Iwanaga, Yasuhiro, 2024. "Revisiting the residual momentum in Japan," International Review of Financial Analysis, Elsevier, vol. 93(C).
  110. Jelena Minovic, 2011. "Liquidity Measuring of Financial Market in Western Balkan Region: The Case of Serbia," Book Chapters, in: Stefan Bogdan Salej & Dejan Eric & Srdjan Redzepagic & Ivan Stosic (ed.), Contemporary Issues in the Integration Processes of Western Balkan Countries in the European Union, chapter 27, pages 443-459, Institute of Economic Sciences.
  111. Sen, Kaustav, 2009. "Earnings surprise and sophisticated investor preferences in India," Journal of Contemporary Accounting and Economics, Elsevier, vol. 5(1), pages 1-19.
  112. Anderson, James H. & Korsun, Georges & Murrell, Peter, 2003. "Glamour and value in the land of Chingis Khan," Journal of Comparative Economics, Elsevier, vol. 31(1), pages 34-57, March.
  113. Eric Girard & Amit Sinha, 2008. "Risk and Return in the Next Frontier," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(1), pages 43-80, January.
  114. Choi, Jaehyung, 2012. "Spontaneous symmetry breaking of arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3206-3218.
  115. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
  116. Julio Lobao & Joao Meira Fernandes, 2017. "The 52-Week High and Momentum Investing: Implications for Asset Pricing Models," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 349-376, November.
  117. Jaehyung Choi & Young Shin Kim & Ivan Mitov, 2014. "Reward-risk momentum strategies using classical tempered stable distribution," Papers 1403.6093, arXiv.org, revised Jun 2015.
  118. Markus Glaser & Thomas Langer & Martin Weber, 2007. "On the Trend Recognition and Forecasting Ability of Professional Traders," Decision Analysis, INFORMS, vol. 4(4), pages 176-193, December.
  119. Jaehyung Choi, 2012. "Physical approach to price momentum and its application to momentum strategy," Papers 1208.2775, arXiv.org, revised Aug 2014.
  120. Alhenawi, Yasser, 2015. "On the interaction between momentum effect and size effect," Review of Financial Economics, Elsevier, vol. 26(C), pages 36-46.
  121. José Miralles Marcelo & María Miralles Quirós & José Miralles Quirós, 2004. "The Pricing of Systematic Liquidity Risk in Stock Markets," Notas Económicas, Faculty of Economics, University of Coimbra, issue 20, pages 162-176, December.
  122. Naranjo, Andy & Porter, Burt, 2010. "Risk factor and industry effects in the cross-country comovement of momentum returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 275-299, March.
  123. Kabir Hassan & Eric Girard, 2011. "Shari’ah-consistent Investment Vehicles in Malaysia," Chapters, in: Mohamed Ariff & Munawar Iqbal (ed.), The Foundations of Islamic Banking, chapter 9, Edward Elgar Publishing.
  124. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
  125. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
  126. L. de Moor & P. Sercu, 2004. "CAPM Tests and Alternative Factor Portfolio Composition.Getting the Alpha’s Right," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(4), pages 789-846.
  127. M. K. Hassan & S. S. H. Chowdhury, 2008. "Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 749-758.
  128. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
  129. Li, Bob & Stork, Thomas & Chai, Daniel & Ee, Mong Shan & Ang, Hong Nee, 2014. "Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 19-31.
  130. Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 143-158, April.
  131. Saumya Ranjan Dash & Jitendra Mahakud, 2013. "Investor Sentiment and Stock Return: Do Industries Matter?," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(3), pages 315-349, August.
  132. Qiang Gong & Ming Liu & Qianqiu Liu, 2011. "Is Momentum Really Momentum? International Evidence," Working Papers EMS_2011_22, Research Institute, International University of Japan.
  133. Marcelo, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2006. "The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 254-267, May.
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