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Citations for "Value versus Growth: The International Evidence"

by Eugene F. Fama & Kenneth R. French

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  1. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
  2. Denice Bodeutsch & Philip Hans Franses, 2014. "Size and value effects in Suriname," Applied Financial Economics, Taylor & Francis Journals, vol. 24(10), pages 671-677, May.
  3. Pereiro, Luis E., 2006. "The practice of investment valuation in emerging markets: Evidence from Argentina," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 16(2), pages 160-183, April.
  4. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
  5. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Testing Conditional Asset Pricing Models: An Emerging Market Perspective," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 3/08, Monash University, Department of Econometrics and Business Statistics.
  6. Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers, Financial Markets Group dp599, Financial Markets Group.
  7. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(3), pages 457-472.
  8. 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.
  9. Dimitri Vayanos & Paul Woolley, 2008. "An Institutional Theory of Momentum and Reversal," FMG Discussion Papers, Financial Markets Group dp621, Financial Markets Group.
  10. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(1), pages 18-46, October.
  11. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers, Society for Economic Dynamics 75, Society for Economic Dynamics.
  12. Begoña Font Belaire, 2012. "Can the exchange rate, inflation and domestic risk factors be overlooked in international asset pricing?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2012-04, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  13. Juan Pedro Gomez, 2005. "An International Capm With Consumption Externalities And Non-Financial Wealth," Working Papers Economia wp05-08, Instituto de Empresa, Area of Economic Environment.
  14. 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, Elsevier, vol. 3(1), pages 1-30, March.
  15. Magdalena Morgese Borys & Petr Zemčik, 2011. "Size and Value Effects in the Visegrad Countries," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 47(3), pages 50-68, May.
  16. Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, Elsevier, vol. 209(1), pages 83-93, February.
  17. Alexei Goriaev & Alexei Zabotkin, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Working Papers w0077, Center for Economic and Financial Research (CEFIR).
  18. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(2), pages 385-413, November.
  19. M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams, 2013. "Rationalizing the Value Premium in Emerging Markets," Working Papers 13010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  20. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 26(C), pages 156-175.
  21. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, American Finance Association, vol. 64(6), pages 2591-2626, December.
  22. Chen, Huafeng (Jason), 2011. "Firm life expectancy and the heterogeneity of the book-to-market effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(2), pages 402-423, May.
  23. Rudolf F. Klein & K. Victor Chow, 2010. "Orthogonalized Equity Risk Premia and Systematic Risk Decomposition," Working Papers 10-05, Department of Economics, West Virginia University.
  24. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2000. "Evaluating Style Analysis," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2000-11-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.
  25. Ding, David K. & Chua, Jia Leng & Fetherston, Thomas A., 2005. "The performance of value and growth portfolios in East Asia before the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 13(2), pages 185-199, March.
  26. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, Elsevier, vol. 11(4), pages 373-389, December.
  27. Jaap van der Hart & Erica Slagter & Dick van Dijk, 2001. "Stock Selection Strategies in Emerging Markets," Tinbergen Institute Discussion Papers 01-009/4, Tinbergen Institute.
  28. Burton G. Malkiel & Derek Jun, 2009. "The Value Effect and the Market For Chinese Stocks," Working Papers 1177, Princeton University, Department of Economics, Center for Economic Policy Studies..
  29. David McLean, R. & Pontiff, Jeffrey & Watanabe, Akiko, 2009. "Share issuance and cross-sectional returns: International evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(1), pages 1-17, October.
  30. Carmichael, Benoît & Coën, Alain, 2008. "Asset pricing models with errors-in-variables," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 778-788, September.
  31. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
  32. Arnold, Tom & Nail, Lance & Nixon, Terry D., 2004. "Do ADRs enhance portfolio performance for a domestic portfolio? Evidence from the 1990s," Research in International Business and Finance, Elsevier, Elsevier, vol. 18(3), pages 341-359, September.
  33. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
  34. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(1), pages 139-209, January.
  35. Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
  36. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics.
  37. Rizova, Savina, 2013. "Trade momentum," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 258-293.
  38. 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.
  39. Hall, Anthony D. & Hwang, Soosung & Satchell, Stephen E., 2002. "Using Bayesian variable selection methods to choose style factors in global stock return models," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2301-2325.
  40. Schmeling, Maik, 2009. "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(3), pages 394-408, June.
  41. Black, Angela J. & Fraser, Patricia & McMillan, David G., 2007. "Are international value premiums driven by the same set of fundamentals?," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 113-129.
  42. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  43. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(2), pages 175-187.
  44. Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
  45. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 514-537, June.
  46. Iihara, Yoshio & Kato, Hideaki Kiyoshi & Tokunaga, Toshifumi, 2004. "The winner-loser effect in Japanese stock returns," Japan and the World Economy, Elsevier, Elsevier, vol. 16(4), pages 471-485, December.
  47. Chen, Xuanjuan & Kim, Kenneth A. & Yao, Tong & Yu, Tong, 2010. "On the predictability of Chinese stock returns," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 18(4), pages 403-425, September.
  48. Larrain, Borja & Urzúa I., Francisco, 2013. "Controlling shareholders and market timing in share issuance," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 661-681.
  49. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(4), pages 598-619, September.
  50. Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 186-210.
  51. Malkiel, Burton & Jun, Derek, 2009. "The "value" effect and the market for Chinese stocks," Emerging Markets Review, Elsevier, Elsevier, vol. 10(4), pages 227-241, December.
  52. Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," QUCEH Working Paper Series 14-05, Queen's University Centre for Economic History, Queen's University Belfast.
  53. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, Elsevier, vol. 3(4), pages 429-448, December.
  54. Du, Ding, 2008. "The 52-week high and momentum investing in international stock indexes," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 48(1), pages 61-77, February.
  55. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 1999. "The alpha factor asset pricing model: A parable," Journal of Financial Markets, Elsevier, Elsevier, vol. 2(1), pages 49-68, February.
  56. Nitschka, Thomas, 2006. "Does sensitivity to cashflow news explain the value premium on European stock markets?," Technical Reports 2006,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  57. De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  58. Liang, Samuel Xin & Wei, John K.C., 2012. "Liquidity risk and stock returns around the world," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3274-3288.
  59. Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  60. Vanstone, Bruce & Finnie, Gavin & Hahn, Tobias, 2012. "Creating trading systems with fundamental variables and neural networks: The Aby case study," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 86(C), pages 78-91.
  61. Michel DUBOIS & Pierre JEANNERET, 2000. "The Long-run Performance of Seasoned Equity Offerings with rights evidence from the Swiss Market," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp22, International Center for Financial Asset Management and Engineering.
  62. Nawazish Mirza, 2008. "Size and value premium in Karachi stock exchange," CREB Working papers 1-2008, Centre for Research in Economics and Business, The Lahore School of Economics, revised 2008.
  63. Lee, King Fuei, 2011. "Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US," MPRA Paper 46350, University Library of Munich, Germany.
  64. Jennifer Conrad & Michael Cooper & Gautam Kaul, 2003. "Value versus Glamour," Journal of Finance, American Finance Association, American Finance Association, vol. 58(5), pages 1969-1996, October.
  65. 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, Elsevier, vol. 21(6), pages 905-929, November.
  66. Abhyankar, Abhay & Ho, Keng-Yu, 2007. "Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 61-80.
  67. Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
  68. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc.
  69. Chen, Long & Petkova, Ralitsa & Zhang, Lu, 2008. "The expected value premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 269-280, February.
  70. Pei-Gi Shu & Yin-Hua Yeh & Shean-Bii Chiu & Fu-Sheng Ho, 2011. "The reputation effect of venture capital," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 533-554, May.
  71. Asgharian, Hossein & Karlsson, Sonnie, 2006. "Evaluating a nonlinear asset pricing model on international data," Working Papers 2006:5, Lund University, Department of Economics.
  72. Long, Wen & Mok, Henry M.K. & Hu, Yan & Wang, Huiwen, 2009. "The style and innate structure of the stock markets in China," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(2), pages 224-242, April.
  73. Chou, Pin-Huang & Ko, Kuan-Cheng & Lin, Shinn-Juh, 2010. "Do relative leverage and relative distress really explain size and book-to-market anomalies?," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(1), pages 77-100, February.
  74. Galsband, Victoria, 2012. "Downside risk of international stock returns," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2379-2388.
  75. Hahl, Teemu & Vähämaa, Sami & Äijö, Janne, 2014. "Value versus growth in IPOs: New evidence from Finland," Research in International Business and Finance, Elsevier, Elsevier, vol. 31(C), pages 17-31.
  76. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, Elsevier, vol. 13(1), pages 8-25.
  77. Mian, G. Mujtaba & Teo, Terence G. L., 2004. "Do errors in expectations explain the cross-section of stock returns?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 12(2), pages 197-217, April.
  78. de Groot, W. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm 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.
  79. Julie Salaber, 2007. "The Determinants of Sin Stock Returns: Evidence on the European Market," Working Papers halshs-00170219, HAL.
  80. Brown, Stephen & Ghon Rhee, S. & Zhang, Liang, 2008. "The return to value in Asian stock markets," Emerging Markets Review, Elsevier, Elsevier, vol. 9(3), pages 194-205, September.
  81. Bagella, Michele & Becchetti, Leonardo & Carpentieri, Andrea, 2000. ""The first shall be last". Size and value strategy premia at the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 893-919, June.
  82. Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua, 2014. "Value investing and technical analysis in Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 26(C), pages 14-36.
  83. Da Silva, Andre L. C., 2001. "Empirical tests of the Dogs of the Dow strategy in Latin American stock markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 187-199.
  84. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp95, International Center for Financial Asset Management and Engineering.
  85. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(3), pages 334-348.
  86. Vo, Xuan Vinh, 2008. "The determinants of home bias puzzle in equity portfolio investment in Australia," MPRA Paper 26982, University Library of Munich, Germany, revised 26 Jul 2009.
  87. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 132-156, January.
  88. Bancel, Franck & Kalimipalli, Madhu & Mittoo, Usha R., 2009. "Cross-listing and the long-term performance of ADRs: Revisiting European evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(5), pages 895-923, December.
  89. Rudolf F. Klein & K. Victor Chow, 2010. "Sentiment Effect and Market Portfolio Inefficiency," Working Papers 10-08, Department of Economics, West Virginia University.
  90. Nuno Fernandes & Ugur Lel & Darius P. Miller, 2009. "Escape from New York: the market impact of loosening disclosure requirements," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Jan.
  91. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 91(1), pages 1-23, January.
  92. Ng, David T., 2004. "The international CAPM when expected returns are time-varying," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(2), pages 189-230, March.
  93. Foort HAMELINK, & Hélène HARASTY & Pierre HILLION, 2001. "Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp35, International Center for Financial Asset Management and Engineering.
  94. Ho, Keng-Yu, 2005. "Long-horizon abnormal performance following rights issues and placings: Additional evidence from the U.K. market," Review of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 25-45.
  95. Fletcher, Jonathan & Forbes, David, 2002. "An exploration of the persistence of UK unit trust performance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(5), pages 475-493, December.
  96. Walkshäusl, Christian & Lobe, Sebastian, 2012. "Islamic investing," Review of Financial Economics, Elsevier, Elsevier, vol. 21(2), pages 53-62.
  97. McKnight, Phillip J. & Hou, Tony C.T., 2006. "The determinants of momentum in the United Kingdom," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(2), pages 227-240, May.
  98. Agarwal, Vikas & Wang, Lingling, 2007. "Transaction costs and value premium," CFR Working Papers 07-06, University of Cologne, Centre for Financial Research (CFR).
  99. Israel, Ronen & Moskowitz, Tobias J., 2013. "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 275-301.
  100. Zhang, Xiaoyan, 2006. "Specification tests of international asset pricing models," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(2), pages 275-307, March.
  101. Yen, Jenn Yaw & Sun, Qian & Yan, Yuxing, 2004. "Value versus growth stocks in Singapore," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 14(1), pages 19-34, February.
  102. Weigert, Florian, 2012. "In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide," Working Papers on Finance 1325, University of St. Gallen, School of Finance, revised Mar 2013.
  103. Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(5), pages 724-748, September.
  104. Patrick Coggi & Bogdan Manescu, 2004. "A multifactor model of stock returns with endogenous regime switching," University of St. Gallen Department of Economics working paper series 2004 2004-01, Department of Economics, University of St. Gallen.
  105. Mateus, Tiago, 2004. "The risk and predictability of equity returns of the EU accession countries," Emerging Markets Review, Elsevier, Elsevier, vol. 5(2), pages 241-266, June.
  106. Romilda Mazzotta & Stefania Veltri, 2014. "The relationship between corporate governance and the cost of equity capital. Evidence from the Italian stock exchange," Journal of Management and Governance, Springer, vol. 18(2), pages 419-448, May.
  107. van der Hart, J. & de Zwart, G.J. & van Dijk, D.J.C., 2005. "The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2005-012-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.
  108. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance, EconWPA 0503028, EconWPA, revised 23 Jul 2005.
  109. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2006. "The value, size, and momentum spread during distressed economic periods," Finance Research Letters, Elsevier, Elsevier, vol. 3(4), pages 244-252, December.
  110. Massimo Massa & Theo Vermaelen & Moqi Xu, 2013. "Rights offerings, trading, and regulation: A global perspective," FMG Discussion Papers, Financial Markets Group dp727, Financial Markets Group.
  111. Bagella, Michele & Becchetti, Leonardo & Adriani, Fabrizio, 2005. "Observed and "fundamental" price-earning ratios: A comparative analysis of high-tech stock evaluation in the US and in Europe," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(4), pages 549-581, June.
  112. Gomez Biscarri, Javier & Lopez Espinosa, German, 2008. "The influence of differences in accounting standards on empirical pricing models: An application to the Fama-French model," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 18(4), pages 369-388, October.
  113. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, School of Economics and Management, University of Aarhus.
  114. Apergis, Nicholas & Payne, James E., 2014. "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, Elsevier, Elsevier, vol. 23(1), pages 46-53.
  115. Pukthuanthong, Kuntara & Roll, Richard, 2009. "Global market integration: An alternative measure and its application," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(2), pages 214-232, November.
  116. Serra, Ana Paula, 2000. "Country and industry factors in returns: evidence from emerging markets' stocks," Emerging Markets Review, Elsevier, Elsevier, vol. 1(2), pages 127-151, September.
  117. de Groot, Caspar G. M. & Verschoor, Willem F. C., 2002. "Further evidence on Asian stock return behavior," Emerging Markets Review, Elsevier, Elsevier, vol. 3(2), pages 179-193, June.
  118. Tai, Chu-Sheng, 2003. "Are Fama-French and momentum factors really priced?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 359-384, December.
  119. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
  120. 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).
  121. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 54(4), pages 1439-1464, 08.
  122. Jason Kotter & Ugur Lel, 2008. "Friends or foes? The stock price impact of sovereign wealth fund investments and the price of keeping secrets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 940, Board of Governors of the Federal Reserve System (U.S.).
  123. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(4), pages 465-498, September.
  124. Aidan Corcoran, 2010. "Global Funding Liquidity, Equity Returns and Crash Risk: Implications for Monetary Policy," The Institute for International Integration Studies Discussion Paper Series iiisdp318, IIIS, revised Feb 2010.
  125. Hodrick, Robert J & Vassalou, Maria, 2001. "Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?," CEPR Discussion Papers 3056, C.E.P.R. Discussion Papers.
  126. Kusdhianto SETIAWAN, 2012. "Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 105-127, December.
  127. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, Elsevier, vol. 16(C), pages 46-65.
  128. Fletcher, Jonathan & Hillier, Joe, 2002. "On the usefulness of linear factor models in predicting expected returns in mean-variance analysis," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 449-466.
  129. Keith Anderson & Chris Brooks, 2005. "The Long-Term P/E Radio," ICMA Centre Discussion Papers in Finance icma-dp2005-02, Henley Business School, Reading University.
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