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Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?

Citations

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  1. Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Anomalous Returns, Risk Premiums and Diversification: Evidence from Emerging Market," Proceedings of Economics and Finance Conferences 4807461, International Institute of Social and Economic Sciences.
  2. Foye, James, 2018. "A comprehensive test of the Fama-French five-factor model in emerging markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 199-222.
  3. Nedumparambil, Elizabeth & Bhandari, Anup Kumar, 2020. "Credit risk – Return puzzle: Evidence from India," Economic Modelling, Elsevier, vol. 92(C), pages 195-206.
  4. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
  5. Joanna Olbry�, 2014. "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 513�536-5.
  6. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  7. Gniadkowska-Szymańska Agata, 2017. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(4), pages 136-148, December.
  8. Bee-Hoong Tay & Pei-Tha Gan, 2016. "The Determinants of Investment Rewards: Evidence for Selected Developed and Developing Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1180-1188.
  9. Roslily Ramlee & Ruhani Ali, 2012. "Liquidity, Initial Public Offering (IPO) Long-Term Return and Government Ownership Evidence from Bursa Malaysia IPO Stocks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 39-66.
  10. Fahad Ali & RongRong He & YueXiang Jiang, 2018. "Size, Value and Business Cycle Variables. The Three-Factor Model and Future Economic Growth: Evidence from an Emerging Market," Economies, MDPI, vol. 6(1), pages 1-24, February.
  11. Mahmoud Moeinadin & Forough Heirany & Ehsan Khoshnood, 2013. "Impact of Information Risk on the Liquidity Risk of the Firms Listed on the Tehran Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(4), pages 300-307, October.
  12. Jelena Vidovic, 2013. "Investigation Of Stock Illiquidity On Central And South East European Markets In Naã Ve Portfolio Framework," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 22(2), pages 537-550, december.
  13. Zalewska Justyna & Nehrebecka Natalia, 2019. "Liquidity and solvency of a company and the rate of return – an analysis of the Warsaw Stock Exchange," Central European Economic Journal, Sciendo, vol. 6(53), pages 199-220, January.
  14. Vidović Jelena & Poklepović Tea & Aljinović Zdravka, 2014. "How to Measure Illiquidity on European Emerging Stock Markets?," Business Systems Research, Sciendo, vol. 5(3), pages 67-81, September.
  15. 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.
  16. Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin, 2015. "Exchange risk premia and firm characteristics," Emerging Markets Review, Elsevier, vol. 22(C), pages 96-125.
  17. Kim, Jang Ho & Han, Jiwoon & Kang, Taehyeon & Fabozzi, Frank J., 2023. "A machine learning approach for comparing the largest firm effect," Emerging Markets Review, Elsevier, vol. 54(C).
  18. Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 1-35, September.
  19. Agata Gniadkowska-Szymańska, 2021. "Liquidity of assets and liquidity of shares: the example of the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 52(1), pages 1-22.
  20. Artur A. Trzebiński, 2022. "Assessing the performance of mutual funds with multifactor asset pricing models," Bank i Kredyt, Narodowy Bank Polski, vol. 53(1), pages 79-106.
  21. Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
  22. Agata Gniadkowska-Szymańska, 2022. "The liquidity of shares and the risk of bankruptcy," Bank i Kredyt, Narodowy Bank Polski, vol. 53(6), pages 565-586.
  23. Harshita & Shveta Singh & Surendra S. Yadav, 2018. "Changing Nature of the Value Premium in the Indian Stock Market," Vision, , vol. 22(2), pages 135-143, June.
  24. Foye, James & Valentinčič, Aljoša, 2020. "Testing factor models in Indonesia," Emerging Markets Review, Elsevier, vol. 42(C).
  25. Jelena Minović & Boško Živković, 2012. "Impact Of Liquidity And Size Premium On Equity Price Formation In Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 57(195), pages 43-78, October -.
  26. Butt, Hilal Anwar & Demirer, Riza & Sadaqat, Mohsin & Suleman, Muhammad Tahir, 2022. "Do emerging stock markets offer an illiquidity premium for local or global investors?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 502-515.
  27. Ćosić Karlo & Časni Anita Čeh, 2019. "The impact of cryptocurrency on the efficient frontier of emerging markets," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 5(2), pages 64-75, December.
  28. Waszczuk, Antonina, 2013. "A risk-based explanation of return patterns—Evidence from the Polish stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 186-210.
  29. Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
  30. 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.
  31. 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.
  32. Zaremba Adam & Konieczka Przemysław, 2017. "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(3), pages 26-47, September.
  33. Mahmud, Nurrul Iiyana & Masih, Mansur, 2016. "Are shariah (islamic) stock market returns stable ? evidence from the select islamic stock indices of emerging markets, USA, UK and Japan," MPRA Paper 101879, University Library of Munich, Germany.
  34. Dupuis, Daniel, 2019. "Ex-dividend day price behavior and liquidity in a tax-free emerging market," Emerging Markets Review, Elsevier, vol. 38(C), pages 239-250.
  35. Szymon Stereńczak, 2020. "State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange," IJFS, MDPI, vol. 8(1), pages 1-24, March.
  36. Uma Murthy & Paul Anthony & Rubana Vighnesvaran, 2016. "Factors Affecting Kuala Lumpur Composite Index (KLCI) Stock Market Return in Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(1), pages 122-122, December.
  37. Arnoldo R. Camacho, 2013. "Modelling the Risk Profiles of Clients in the Fight Against Money Laundering and Terrorism Financing," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 12(2), pages 97-120, December.
  38. 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.
  39. French, Joseph J. & Taborda, Rodrigo, 2018. "Disentangling the relationship between liquidity and returns in Latin America," Global Finance Journal, Elsevier, vol. 36(C), pages 23-40.
  40. Hamid Reza Vakilifard & Nassim Shahmoradi, 2014. "Investigating the Effects of Stable Profitability and Free Cash Flow on Stock Returns of Companies Listed in Tehran Stock Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(3), pages 21-27, July.
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