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Alexandre Aidov and Olesya Lobanova
Prior studies that examine the relation between market depth and bid?ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spr...
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Marise Vermeulen
AbstractThis study investigated the relationship between share returns and nine variables that had been proven to influence returns in previous research, using a multiple regression analysis. These variables are size, leverage, book-to-market ratio, earn...
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Gyorgy Varga,Ricardo Dias de Oliveira Brito
Pág. 151 - 187
In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market ß and size do not play a role....
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Pág. 29 - 45
Ali et al. (2003) argue that the Book-to-Market (B/M) anomaly is explained by mispricing. Using firm-level data from 1976 through 1997, we replicate their results and then test the idea that the anomaly is also explained as reflecting compensation ...
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Márcio André Veras Machado,Otávio Ribeiro de Medeiros
Pág. 383 - 412
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 and test whether this factor is priced and whether stock returns were e...
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Frederico Valle e Flister,Aureliano Angel Bressan,Hudson Fernandes Amaral
Pág. 105 - 129
This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel?s (2006) methodology in the Brazilian stock market. To this end we studied a sample of B...
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Juliano Ribeiro de Almeida,William Eid Jr.
Pág. 417 - 441
The book-to-market (BM) ratio differs across stocks because to differences in expected cashflows and expected returns. The central hypothesis is that the evolution of BM, in terms of past changes in price and book equity, contains information about futur...
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Aristita Rotila
The items of information within the financial statements are presented with a general purpose, in order to satisfy the needs of all categories of users but, in this paper, we decided that,starting from the financial statements, we could approach the issu...
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Bayram Veli Salur and Cumhur Ekinci
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ra...
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Bee-Hoong Tay,Pei-Tha Gan
Pág. 1180 - 1188
The empirical studies on investors? investment reward rarely focus on the performance of excess returns across the developing and developed countries: investment in the developing countries has higher risk thus requires higher return compared to develope...
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Adam Karp, Gary van Vuuren
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based ...
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Frances Fischberg Blank,Carlos Patricio Samanez,Tara Keshar Nanda Baidya,Fernando Antonio Lucena Aiube
Pág. 163 - 199
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter....
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Jon Hooks, Sarah Erdman
This paper seeks to further investigate the quandary of closed-end fund discounts known as the four-piece puzzle. While other researchers have taken a behavior approach (investor sentiment, etc.), this study will explore empirical data on several variabl...
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Carlos Marcelo Lauretti,Eduardo Kazuo Kayo,Emerson Fernandes Marçal
Pág. 215 - 236
Academic studies have shown that returns show reversion effects, which has often been explained as market overreaction to ?rms past performance. Other studies have shown that future returns are positively related to book-to-market index (B/M), which has ...
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Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
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Jonathan Fletcher
This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a ...
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Stephanos Papadamou, Nikolaos A. Kyriazis and Lydia Mermigka
This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance ana...
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Ahmed Al Samman,Mahmoud Moustafa Otaify
Pág. 300 - 315
This paper investigates how volatility of characteristics-sorted portfolios respond to macroeconomic volatility based on Egyptian data covering the period July 2002 ? June 2015. The paper uses three characteristics, namely size, book-to-market ratio and ...
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Jon Roffe
Pág. Finance an - 24
In his review of my recent book, Abstract Market Theory, Johnson mistakes my investigation into the conditions and limits of probabilistic reasoning as a rejection of its sense and utility. The same misunderstanding also appears in a review by Munger pub...
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Fábio Massaúd Caetano, Nelson Seixas dos Santos, Gilberto de Oliveira Kloeckner
Pág. 625 - 650
Este artigo estima a probabilidade de informação privilegiada (PIN), para ações do Índice Brasil durante o período de 2006 até 2011. O PIN é uma proxy para informação privada e é incorporado ao método de Fama French (1993) para separar os portfolios e ex...
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