Environmental corporate social responsibility (ECSR) can be a strategy to increase the
transparency of investment information effectively to alleviate information asymmetry. The …

The purpose of this paper is to examine two controversial explanations for the momentum in
the Tunisian stock market: the risk hypothesis and the underreaction hypothesis. To address …

Purpose–The purpose of this study is to examine the effect of Fama-French five-factor and
momentum factor on Islamic stock portfolio excess returns listed in the Indonesia Sharia …

This paper re-examines the link between idiosyncratic risk and expected returns for a large
sample of firms in both developed and emerging markets. Recent studies using Fama …

This article examines the effectiveness of momentum strategy at the industry level in the
Chinese stock market. We find that the intermediate-horizon momentum effect is stronger in …

Investors often focus on recent information only, underestimating the relevance of data from
the distant past. In consequence, the ordering of historical returns reliably predicts future …

Size, conditional idiosyncratic risk and price momentum: an international study | Emerald Insight
Books and journals Case studies Expert Briefings Open Access Publish with us Advanced …

We explore a relation between expected returns and idiosyncratic risk in Russia. Investors in
the Russian stock market cannot fully diversify their portfolios due to transaction costs …

Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected
returns is positive (negative) among overpriced (underpriced) stocks. We offer a new active …

Momentum is defined as the tendency of securities with good (poor) past performance to
overperform (underperform) in the future. It is one of the most pervasive anomalies ever …