Machine learning and the cross-section of emerging market stock returns
MX Hanauer, T Kalsbach - Emerging Markets Review, 2023 - Elsevier
This paper compares various machine learning models to predict the cross-section of
emerging market stock returns. We document that allowing for non-linearities and …
emerging market stock returns. We document that allowing for non-linearities and …
[HTML][HTML] Anomalies in the China A-share market
M Jansen, L Swinkels, W Zhou - Pacific-Basin Finance Journal, 2021 - Elsevier
This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …
anomalies in the China A-share market and other markets. To this end, we examine the …
Firm size sensitivity on the correlation between financing choice and firm value
This study examines the impact of firm size on the effect of capital structure choice on the
firm value in one of the emerging markets, Indonesia. The study of capital structure choice …
firm value in one of the emerging markets, Indonesia. The study of capital structure choice …
A comparison of global factor models
MX Hanauer - Available at SSRN 3546295, 2020 - papers.ssrn.com
I compare commonly employed factor models across 50 non-US developed and emerging
market countries by ranking them based on their maximum Sharpe ratios. Consistent with …
market countries by ranking them based on their maximum Sharpe ratios. Consistent with …
[HTML][HTML] Is there an illiquidity premium in frontier markets?
We perform a comprehensive examination of the role of stock-level liquidity in the cross-
section of frontier market stock returns. Using several popular liquidity measures and a …
section of frontier market stock returns. Using several popular liquidity measures and a …
Google search and stock returns: A study on BIST 100 stocks
This study investigates whether there is a relationship between Google search and stock
returns after we account for market, size, and value. We analyze weekly data on BIST 100 …
returns after we account for market, size, and value. We analyze weekly data on BIST 100 …
The Fama-French five-factor model and emerging market equity returns
S Mosoeu, O Kodongo - The Quarterly Review of Economics and Finance, 2022 - Elsevier
Abstract We test the Fama-French five-factor asset-pricing model on average stock returns
for selected emerging and developed equity markets. We deploy the generalized method of …
for selected emerging and developed equity markets. We deploy the generalized method of …
Beyond Fama-French factors: Alpha from short-term signals
Short-term alpha signals are generally dismissed in traditional asset pricing models,
primarily due to market friction concerns. However, this paper demonstrates that investors …
primarily due to market friction concerns. However, this paper demonstrates that investors …
The five-factor asset pricing model tests and profitability and investment premiums: evidence from Pakistan
F Ali, MU Khurram, Y Jiang - Emerging Markets Finance and Trade, 2021 - Taylor & Francis
Using an extensive sample of the Pakistani stock market over the 2003–2016 period, this
paper is the first to evaluate and compare the performance of four most popular factor pricing …
paper is the first to evaluate and compare the performance of four most popular factor pricing …
[HTML][HTML] Short-term momentum (almost) everywhere
Is there a short-term reversal effect outside the universe of individual stocks? To answer this,
we investigate a comprehensive dataset of more than two centuries of returns on five major …
we investigate a comprehensive dataset of more than two centuries of returns on five major …