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 …

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 …

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 …

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 …

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 …

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 …

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 …

Short-term alpha signals are generally dismissed in traditional asset pricing models,
primarily due to market friction concerns. However, this paper demonstrates that investors …

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 …

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 …