O objetivo deste trabalho é investigar se os gestores de fundos de aç oes ativos tiveram
habilidade superior de seletividade em relaçao ao equilıbrio de mercado e aos fundos …

The objective of this paper is to find short-term momentum effect in stock markets of the
Middle East and to examine whether short-term momentum profits can be explained by risk …

The study tests prominent equity market anomalies for six emerging markets-Brazil, China,
India, Indonesia, South Korea and South Africa. We find that using the Fama French model …

No artigo, reexaminam-se as estratégias de momento a fim de verificar se a falta de
evidências quanto a sua lucratividade no mercado brasileiro pode estar relacionada às …

The aim of this paper is to present and to test a modification in the traditional Fama and
French Multifactor Model (1996), from the necessities of adaptation for the Brazilian case …

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 …

Este artigo procurou verificar se o modelo CAPM condicional é capaz de explicar anomalias
de momento, tamanho e book-to-market, utilizando metodologia proposta por Lewellen & …

In this study, we attempt to show empirical evidence of momentum profits in Karachi Stock
Exchange (KSE) using monthly stocks returns data of 609 stocks over the period June 2004 …

There has recently been an increasing number of new investors in the Brazilian stock
markets, providing new asset allocation opportunities as well as challenges in terms of …

This paper aims to evaluate the effects of the aggregate market volatility components-
average volatility and average correlation-on the pricing of portfolios sorted by idiosyncratic …