We investigate the size and value factors in the cross‐section of returns for the Chinese
stock market. We find a significant size effect but no robust value effect. A zero‐cost small …

This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …

In this article, the authors apply well-studied factor strategies from the US equity anomalies
literature to Chinese A-shares, demonstrating which factors have worked and which have …

Value and growth stock returns: international evidence (JES) | Emerald Insight Books and
journals Case studies Expert Briefings Open Access Publish with us Advanced search Value …

There have been many seminal works investigating factors in addition to CAPM beta, as
developed by Sharpe [1964]; Linter [1965]; and Mossin [1966], to model the cross section of …

International studies on the cross-section of returns diff er strongly in respect to the empirical
design. In this paper I cover wide range of international papers to give an overview of …

This paper discusses the data sources used in the international research on the cross-
section of stock returns. Covering the wide range of internationally focused papers I give the …

The study investigates the impact of financial distress (credit spread) and liquidity crises
(TED spread) on size, value, profitability, investment and momentum premiums within the …

The value effect is the tendency of value stocks to outperform the growth stocks in the long-
term. In this paper, we attempt to investigate the presence of value effect in the Indian stock …

Using a quality increase factor from a dynamic perspective to capture the changes in the
quality of firms over a period of time, we explore the impact of firm's quality increases on the …