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Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets. (2010). Kelly, Patrick ; Nardari, Federico ; Griffin, John M..
In: Review of Financial Studies.
RePEc:oup:rfinst:v:23:y:2010:i:8:p:3225-3277.

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  21. Enhanced momentum strategies. (2023). Windmuller, Steffen ; Hanauer, Matthias X.
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  22. Information effect of credit rating announcements in transition economies. (2023). Zabolotnyuk, Yuriy ; Afik, Zvika.
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  23. Trust and price efficiency. (2023). Ho, Kung-Cheng ; Gong, Yujing ; Li, Jinxian ; Zhang, Cheng.
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  24. Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret.
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  25. Which factors explain African stock returns?. (2023). Sy, Oumar ; Ndiaye, Bara ; Mbengue, Mohamed Lamine.
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  28. Allocation of attention and the delayed reaction of stock returns to liquidity shock: Global evidence. (2023). Wang, Shu-Feng ; Lee, Kuan-Hui.
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  30. Machine learning goes global: Cross-sectional return predictability in international stock markets. (2023). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret.
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  35. A cross?country study on informed herding. (2022). Chen, Tao.
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  38. Do emerging stock markets offer an illiquidity premium for local or global investors?. (2022). Suleman, Muhammad Tahir ; Sadaqat, Mohsin ; Demirer, Riza ; Butt, Hilal Anwar.
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  53. Earnings informativeness and trading frequency: Evidence from African markets. (2021). Kyiu, Anthony K ; Li, Hao.
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  58. Impacts of International Sports Events on the Stock Market: Evidence from the Announcement of the 18th Asian Games and 30th Southeast Asian Games. (2021). Alam, Md. Mahmudul ; Dewi, Rani ; Harjito, Dwipraptono.
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  63. Revisiting momentum profits in emerging markets. (2021). Sadaqat, Mohsin ; Kolari, James W ; Butt, Hilal Anwar.
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  64. Do managers pay attention to the market? A review of the relationship between stock price informativeness and investment. (2021). Silva, Paulo ; da Silva, Paulo Pereira.
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  65. Reversal returns and expected returns from liquidity provision: Evidence from emerging markets. (2021). Sadaqat, Mohsin ; Hogholm, Kenneth ; Butt, Hilal Anwar.
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  66. Speculation and the informational efficiency of commodity futures markets. (2021). Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T.
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  69. Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market. (2021). Lo, Ingrid ; Lin, Hai ; Qiao, Rui.
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  70. Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream. (2021). Skouras, Spyros ; Landis, Conrad.
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  71. Liquidity and the cross-section of international stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
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  72. Country governance and international equity returns. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Marshall, Ben R.
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  73. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret.
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  74. Does it pay to follow anomalies research? Machine learning approach with international evidence. (2021). Hronec, Martin ; Tobek, Ondrej.
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  75. Do stocks outperform treasury bills in international markets?. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Marshall, Ben R ; Fang, Jiali.
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  76. Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao.
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  77. A review of the Post-Earnings-Announcement Drift. (2021). Fink, Josef.
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  80. Trade‐size clustering and informed trading in global markets. (2020). Chen, Tao.
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  81. Illiquidity and the Measurement of Stock Price Synchronicity. (2020). Gassen, Joachim ; Veenman, David ; Skaife, Hollis A.
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  83. Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models. (2020). Alonso-Conde, Ana Belen ; Rojo-Suarez, Javier.
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  84. Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence. (2020). Otchere, Isaac ; Abukari, Kobana.
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  85. A Non-parametric Test and Predictive Model for Signed Path Dependence. (2020). Peters, Gareth W ; Dias, Fabio S.
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  86. The role of market efficiency on implied cost of capital estimates: an international perspective. (2020). Schröder, David ; Schroder, David.
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  87. A Review of the Post-Earnings-Announcement Drift. (2020). Fink, Josef.
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  88. Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns. (2020). Rojo-Suarez, Javier ; Alonso-Conde, Ana Belen.
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  89. Cross-sectional and time-series momentum returns: Is China different?. (2020). Man, Yimei ; Chiah, Mardy ; Cheema, Muhammad A.
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  90. Does average skewness matter? Evidence from the Taiwanese stock market. (2020). Zhao, Jing ; Onishchenko, Olena ; Li, Mingyi.
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  91. Sovereign credit risk and global equity fund returns in emerging markets. (2020). Savvides, Andreas ; Lambertides, Neophytos ; Andreou, Christoforos K.
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  92. Anomalies across the globe: Once public, no longer existent?. (2020). Jacobs, Heiko ; Muller, Sebastian.
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  93. Estimating beta: The international evidence. (2020). Hollstein, Fabian.
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  94. Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns. (2020). Maydybura, Alina ; Umutlu, Mehmet ; Zaremba, Adam.
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  95. Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity. (2020). Poshakwale, Sunil ; Agarwal, Vineet ; Aghanya, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619303036.

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  96. In law we trust: Lawyer CEOs and stock liquidity. (2020). Pham, Mia Hang.
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    RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300173.

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  97. Stock market illiquidity, bargaining power and the cost of borrowing. (2020). Muckley, Cal ; Gong, DI ; Chen, Jiayuan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:58:y:2020:i:c:p:181-206.

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  98. More shareholders, higher liquidity? Evidence from an emerging stock market. (2020). Goh, Kim-Leng ; Lim, Kian-Ping ; Chia, Yee-Ee.
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  99. Market liberalization and tax avoidance: Evidence from the Shanghai-Hong Kong Stock Connect Program in China. (2020). Li, Weiping ; Jiang, Dequan ; Yao, Zhenye ; Shen, Yongjian.
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  100. Liquidity and firm value in an emerging market: Nonlinearity, political connections and corporate ownership. (2020). Lim, Kian-Ping ; Goh, Kim-Leng ; Chia, Yee-Ee.
    In: The North American Journal of Economics and Finance.
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  101. Margin trading and price efficiency: information content or price‐adjustment speed?. (2020). Lv, Dayong ; Wu, Wenfeng.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918.

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  102. Information and Noise in Stock Markets: Evidence on the Determinants and Effects Using New Empirical Measures. (2019). .
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  103. Sentiment Risk Premia In The Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuss, Roland ; ROLAND FÜSS, .
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  104. Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market. (2019). HU, Yingyi.
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  105. Seasonal anomalies in the market for American depository receipts. (2019). Lobo, Julio.
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  106. UNDERSTANDING ASIAN EMERGING STOCK MARKETS. (2019). Aun, Syed ; Haroon, Omair ; Arshad, Shaista.
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  107. International Financial Markets. (2019). Saglio, Sophie ; Sanhaji, Bilel ; Guerreiro, David ; Goutte, Stéphane ; Chevallier, Julien.
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  108. International tail risk and World Fear. (2019). Prokopczuk, Marcel ; Benno, Duc Binh ; Hollstein, Fabian ; Simen, Chardin Wese.
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    RePEc:eee:jimfin:v:93:y:2019:i:c:p:244-259.

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  109. Risk perceptions and international stock market liquidity. (2019). Marshall, Ben R ; Anderson, Hamish D.
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  110. Short-sale constraints and stock price informativeness. (2019). Hoseinzade, Saeid ; Ebrahimnejad, Ali.
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  111. Oil prices and stock market anomalies. (2019). Scrimgeour, Frank ; Cheema, Muhammad A.
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  112. The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X.
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    RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286.

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  113. Climate risks and market efficiency. (2019). Hong, Harrison ; Xu, Jiangmin ; Li, Frank Weikai.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:265-281.

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  114. Is tail risk the missing link between institutions and risk?. (2019). Ni, Wan ; Basu, Devraj ; Groslambert, Bertrand .
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  115. Global Market Inefficiencies. (2019). Grinblatt, Mark ; Bartram, Sohnke M.
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  116. DO MOMENTUM STRATEGIES PERFORM BETTER FOR ISLAMIC STOCKS THAN FOR CONVENTIONAL STOCKS ACROSS MARKET STATES?. (2019). Low, Soo-Wah ; Kew, Si-Roei ; Tee, Lain-Tze .
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  117. Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuess, Roland.
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  118. Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures. (2018). Kellard, Neil M ; Snaith, Stuart ; Ahmad, Norzalina .
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  119. Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?. (2018). Gruener, Andreas ; Finke, Christian .
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  120. Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?. (2018). Strobel, Marcus ; Auer, Benjamin R.
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  121. Market volatility, liquidity shocks, and stock returns: Worldwide evidence. (2018). Marshall, Ben ; Anderson, Hamish D.
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  122. Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim.
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  123. Risk in Islamic banking and corporate governance. (2018). Safiullah, MD ; Shamsuddin, Abul.
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  124. Institutional trading and asset pricing. (2018). Frijns, Bart ; Westerholm, Joakim P ; Tourani-Rad, Alireza ; Huynh, Thanh D.
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  125. Limits to arbitrage and the MAX anomaly in advanced emerging markets. (2018). Seif, Mostafa ; Shamsuddin, Abul ; Docherty, Paul.
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  126. A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed .
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  127. Does momentum work? Evidence from Vietnam stock market. (2018). Vo, Xuan Vinh ; Truong, Quang Binh.
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  128. Distress Anomaly and Shareholder Risk: International Evidence. (2018). Eisdorfer, Assaf ; Zhdanov, Alexei ; Goyal, Amit.
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  129. Anomalous Returns, Risk Premiums and Diversification: Evidence from Emerging Market. (2017). Butt, Hilal Anwar ; Sadaqat, Mohsin.
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  130. Actual Share Repurchases, Price Efficiency, and the Information Content of Stock Prices. (2017). Busch, Pascal ; Obernberger, Stefan .
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  131. What Are the Best Liquidity Proxies for Global Research?. (2017). , Kingsley ; Trzcinka, Charles A ; Holden, Craig W.
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  132. What Are the Best Liquidity Proxies for Global Research?. (2017). Trzcinka, Charles ; Holden, Craig W.
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  133. Anomalies Abroad: Beyond Data Mining. (2017). Yuan, Yu ; Stambaugh, Robert ; Lu, Xiaomeng .
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  134. Has momentum lost its momentum?. (2017). Sonaer, Gokhan ; Li, Wei-Hsien ; Bhattacharya, Debarati.
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  135. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Darné, Olivier ; Kim, Jae Paul ; Darne, Olivier ; Charles, Amelie.
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  136. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
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  137. Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie.
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  138. Illusory Nature of Pricing of Illiquidity Effect: The Test Case of Australian Stock Market. (2017). Badshah, Ihsan.
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  139. Investor heterogeneity, trading account types and competing liquidity channels for Malaysian stocks. (2017). Lim, Kian-Ping ; Hooy, Chee-Wooi ; Thian, Tze-Chung .
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  140. Conditional asset pricing in international equity markets. (2017). Huynh, Thanh D.
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  141. Time-varying return predictability in South Asian equity markets. (2017). Lee, Doo Won ; Lutfur, MD ; Shamsuddin, Abul.
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  142. Seasonal anomalies in advanced emerging stock markets. (2017). Docherty, Paul ; Seif, Mostafa ; Shamsuddin, Abul.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:66:y:2017:i:c:p:169-181.

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  143. Do mutual funds exploit the accrual anomaly?: Korean evidence. (2017). Kim, Young Jun ; Sunwoo, Hee-Yeon ; Jeong, SU ; Lee, Joonil.
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  144. Toward a model-free measure of market efficiency. (2017). , Keith.
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  145. Risk-sharing, market imperfections, asset prices: Evidence from China’s stock market liberalization. (2017). Chan, Marc ; Kwok, Simon.
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  146. Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu .
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  147. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
    In: International Economics.
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  148. Stock markets response to real output shocks in Eastern European frontier markets: A VARwAL model. (2017). Ulku, Numan ; Kuzmicheva, Olga ; Kuruppuarachchi, Duminda .
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  149. Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo.
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  150. Effect of Geographical Diversification on Informational Efficiency in Malaysia. (2017). Lim, Kian-Ping ; Hooy, Chee-Wooi ; Poh, Suan .
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  151. Inefficient Globalization of Finance: Evidence from Marketing-Oriented Overseas Expansions of Low-Skilled Mutual Fund Families. (2017). Cheng, SI ; Zhang, Hong ; Massa, Massimo.
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  152. Analysing the Relationship between Oil Prices and Islamic Stock Markets. (2017). Arshad, Shaista.
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  153. Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market. (2017). Sadaqat, Mohsin ; Butt, Hilal Anwar.
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  155. Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices. (2016). Smajlbegovic, Esad ; Roling, Christoph ; Jank, Stephan .
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  156. Taxing financial transactions in fundamentally heterogeneous markets. (2016). Passamani, Giuliana ; Tomaselli, Matteo ; Tamborini, Roberto.
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  157. Stock exchange mergers and market efficiency. (2016). Kim, Jae ; Darné, Olivier ; Redor, Etienne ; Darne, Olivier ; Charles, Amelie.
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  158. Active Management and Price Efficiency of Exchange-traded Funds. (2016). Chen, Tao ; Susai, Masayuki.
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  159. Revealing Shorts An Examination of Large Short Position Disclosures. (2016). Jones, Charles M ; Waller, William ; Reed, Adam V.
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  160. Climate Risks and Market Efficiency. (2016). Hong, Harrison ; Li, Frank Weikai ; Xu, Jiangmin .
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  161. Stock Exchange Mergers and Market. (2016). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Redor, Etienne ; Darne, Olivier.
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  162. Stock market efficiency and liquidity: The Indonesia Stock Exchange merger. (2016). Yang, Ann Shawing ; Pangastuti, Airin .
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  163. Aggregate volatility risk and the cross-section of stock returns: Australian evidence. (2016). Mai, Van Anh ; Fang, Victor ; Chewie, Tze Chuan .
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  164. Market maturity and mispricing. (2016). Jacobs, Heiko.
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  165. Long-term industry reversals. (2016). Mazouz, Khelifa ; Wu, Yuliang .
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  166. Do cross-border acquisitions create value? Evidence from overseas acquisitions by Chinese firms. (2016). Li, Jiatao ; Wang, Baolian.
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  167. Foreign investors and stock price efficiency: Thresholds, underlying channels and investor heterogeneity. (2016). Lim, Kian-Ping ; Hooy, Chee-Wooi ; Brooks, Robert ; Chang, Kwok-Boon .
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  168. Dissecting short-sale performance: Evidence from large position disclosures. (2015). Smajlbegovic, Esad ; Jank, Stephan .
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  169. Corporate Shareholdings and the Liquidity of Malaysian Stocks: Investor Heterogeneity, Trading Account Types and the Underlying Channels. (2015). Lim, Kian-Ping ; Hooy, Chee-Wooi ; Thian, Tze-Chung .
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  170. Exchange traded funds, size-based portfolios, and market efficiency. (2015). Tse, Yiuman ; Krause, Timothy ; Kadapakkam, Palani-Rajan.
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  175. The impact of foreign institutional traders on price efficiency: Evidence from the Taiwan futures market. (2015). Hao, Ying ; Weng, Pei-Shih ; Ho, Keng-Yu ; Chou, Robin K.
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  176. Culture, agency costs, and governance: International evidence on capital structure. (2015). Fauver, Larry ; McDonald, Michael B.
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  177. The illiquidity premium: International evidence. (2015). Amihud, Yakov ; Zhang, Huiping ; Kang, Wenjin ; Hameed, Allaudeen .
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  179. Country and industry concentration and the performance of international mutual funds. (2015). Hiraki, Takato ; Wang, Xue ; Liu, Ming.
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  180. Predictability and ‘good deals’ in currency markets. (2015). Potì, Valerio ; Levich, Richard M. ; Poti, Valerio.
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  181. The performance of diversified emerging market equity funds. (2015). Basu, Anup K. ; Huang-Jones, Jason .
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  184. The case against active pension funds: Evidence from the Turkish Private Pension System. (2015). Goken, Umut ; Yaln, Atakan .
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  187. Short-Sale Constraints and the Pricing of Managerial Skills. (2015). Zhang, Hong ; Cheng, SI ; Massa, Massimo.
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  190. Opaque financial reports and R2: Revisited. (2014). Singh, Vivek ; Iskandardatta, Mai.
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  191. Clustering financial time series with variance ratio statistics. (2014). Caiado, Jorge ; Bastos, João ; João A. Bastos, .
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  192. Exploring the nexus between financial openness and informational efficiency -- does the quality of institution matter?. (2014). Lau, Wee-Yeap ; Naghavi, Navaz .
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  193. Unraveling Hidden Order in the Dynamics of Developed and Emerging Markets. (2014). Ben-Jacob, Eshel ; Shapira, Yoash ; Berman, Yonatan.
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  194. The Global Financial Crisis and Investors’ Behaviour; Evidence from the Karachi Stock Exchange. (2014). Javid, Attiya ; Sohail, Asiya .
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  196. Stock Exchange Mergers and Market Efficiency. (2014). Kim, Jae ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier ; Redor, Etienne.
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  198. Investor attention and information diffusion from analyst coverage. (2014). Wu, Chu-Hua ; Chiang, Ming-Ti ; Lin, Mei-Chen.
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  199. Predictability, trading rule profitability and learning in currency markets. (2014). Potì, Valerio ; Pattitoni, Pierpaolo ; Cucurachi, Paolo ; Poti, Valerio ; Levich, Richard M..
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  200. Idiosyncratic volatility and mergers and acquisitions in emerging markets. (2014). Otchere, Isaac ; Jog, Vijay ; Zhu, Pengcheng.
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  202. International variation in sin stocks and its effects on equity valuation. (2014). Fauver, Larry ; McDonald, Michael B..
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  203. Is Japan Different? Evidence on Momentum and Market Dynamics. (2014). Hanauer, Matthias ; Titman, Sheridan.
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  204. EXCHANGE TRADED FUNDS, SIZE-BASED PORTFOLIOS, AND MARKET EFFICIENCY. (2013). Tse, Yiuman ; Krause, Timothy ; Kadapakkam, Palani-Rajan.
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  205. Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests. (2013). Lim, Kian-Ping ; Kim, Jae ; Luo, Weiwei .
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  206. Equity Offerings Abroad and the adoption of IFRS: A test of the Capital Markets Liability of Foreignness. (2013). Taboada, Alvaro G. ; Loureiro, Gilberto.
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  207. Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis. (2013). Anand, Amber ; Irvine, Paul ; Venkataraman, Kumar ; Puckett, Andy .
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  208. The earnings announcement premium around the globe. (2013). Barber, Brad ; Lehavy, Reuven ; De George, Emmanuel T. ; Trueman, Brett.
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  209. Why are U.S. Stocks More Volatile?. (2012). Stulz, René ; Bartram, Söhnke ; Brown, Gregory W..
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  211. Another look at trading costs and short-term reversal profits. (2012). Huij, Joop ; de Groot, Wilma ; Zhou, Weili .
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  212. Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy. (2012). Ellis, Luci ; BORIO, Claudio ; Arnold, Bruce ; Moshirian, Fariborz .
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  213. The cross-section of stock returns in frontier emerging markets. (2012). Swinkels, Laurens ; Pang, Juan ; de Groot, Wilma .
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  214. Global style momentum. (2012). Collver, Charles ; Limthanakom, Natcha ; Chao, Hsiao-Ying .
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  215. Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Lim, Kian-Ping ; Kim, Jae ; Shamsuddin, Abul.
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  216. Trade openness and the informational efficiency of emerging stock markets. (2011). Lim, Kian-Ping ; Kim, Jae.
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  217. Why Are U.S. Stocks More Volatile?. (2011). Stulz, René ; Bartram, Söhnke ; Brown, Gregory .
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  218. The delay of stock price adjustment to information: A country-level analysis. (2010). Lim, Kian-Ping ; Hooy, Chee-Wooi.
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