Examining asset pricing anomalies: Evidence from Europe

A Pandey, R Joshi - Business Perspectives and Research, 2022 - journals.sagepub.com
We examine five important asset pricing anomalies, namely, size, value, momentum,
profitability, and investment rate to evaluate their efficacy in major West European …

Size effect alive or dead: Evidence from European markets

A Pandey, A Mittal, A Mittal - Cogent Economics & Finance, 2021 - Taylor & Francis
In this paper, we examine whether the size effect is present in four European markets viz.
France, Germany, Spain and Italy. We also investigate whether the size effect can be …

Size effect and the measurement of firm size

D Li, T Li, K Yi, Y Liu - Managerial and Decision Economics, 2022 - Wiley Online Library
The size effect is mainly observed when firm size is measured by stock market value and
absent when measured by firm's total asset, book equity, or total revenue. We argue that if …

Size Factor in Multifactor Portfolios: Does the Size Factor Still Have Its Place in Multifactor Portfolios?

M Esakia, F Goltz, B Luyten… - The Journal of Index …, 2019 - search.proquest.com
The finance literature has established a size effect: stocks with small market capitalization
outperform larger stocks over the long term. The size factor is included in asset-pricing …

Equity market anomalies, VIX and asset pricing: Trading strategies for India

A Pandey - The Indian Economic Journal, 2019 - journals.sagepub.com
In this article we examine five prominent equity anomalies, viz., size, value, profitability,
investment and momentum for Indian capital market using data from July 2001 to June 2019 …

Size, enhanced value, momentum, and combination strategies: the Denmark evidence

E Malm - 2023 - lutpub.lut.fi
This paper considers the performance of several popular portfolio strategies related to size,
value, momentum anomalies, and their combinations in the Denmark stock market during …

[PDF][PDF] CAPITAL ASSET PRICING MODEL: REVISITING THE SIZE PREMIUM HYPOTHESIS

A Abubakar, A Bello, MD Tahir… - Global Journal of …, 2023 - researchgate.net
The declining performance of the Nigerian capital market has increased the demand for
research into the capital asset pricing model. Portfolios are typically used to evaluate the …

Alternative Risk Premia and Market Drawdowns: A Performance Review

F Naya, J Rrustemi, NS Tuchschmid - The Journal of Beta …, 2023 - pm-research.com
Alternative Risk Premia investment products have attracted substantial interest from
institutional investors in the recent decade, as they are supposed to provide risk premia …

Skill or Luck of Dutch equity mutual funds

R Eggink - 2021 - theses.ubn.ru.nl
This thesis applies a bootstrap residual resampling algorithm to assess if the performance of
Dutch mutual equity funds is due to skill or luck. Unlike the parametric method, bootstrapping …

[PDF][PDF] 전기차산업의 기업 외부요인과 내부전략 관련 사건이 관련 기업의 주가에 미치는 영향에 대한 연구

강태경, 황해수, 이희상 - 한국산학기술학회 논문지, 2023 - kais99.org
요 약 본 연구는 전기차 산업에서의 외부환경요인과 내부경영전략들이 주가에 미치는 영향을
사건분석방법론을 사용하여 연구했다. 한국언론진흥재단의 기사검색시스템에서 29 개의 …