The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock
market. As a second goal, we include liquidity as an extra risk factor in asset pricing models …

This paper conducts a comprehensive asset pricing study based on a unique dataset for the
German stock market. For the period 1963 to 2006 we show that value characteristics and …

Demand is growing for a better understanding of how assets are priced in countries outside
of the US While financial data are available for many firms world-wide, it is important to have …

This paper constructs a tail event driven network to investigate the interdependence of tail
risks among industries in the Chinese stock market from 2014 to 2019, and identifies …

We investigate the practical issues of implementing the self-financing pairs portfolio trading
strategy presented by Gatev et al.(2006). We also provide new evidence on the profitability …

This paper examines whether socially responsible investment (SRI) outperforms
conventional investments by meta‐analysis. The result shows that weighted average effect …

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 …

The four risk factors controlling for the market, size, value, and momentum effect have
become a state-of-the-art framework for various applications in financial markets research …

Este artigo teve por objetivo analisar se existe o efeito liquidez no mercado acionário
brasileiro. Além de analisar o efeito liquidez, este artigo avaliou a capacidade do CAPM e …