Do the size, value, and momentum factors drive stock returns in emerging markets?-Reference-Cited by-同舟云学术

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Do the size, value, and momentum factors drive stock returns in emerging markets?

Published:2016-12 Issue: Volume:69 Page:179-204
ISSN:0261-5606
Container-title:Journal of International Money and Finance
language:en
Short-container-title:Journal of International Money and Finance

Author:

Cakici Nusret,Tang Yi,Yan An

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference42 articles.

1. Value and momentum everywhere;Asness;J. Finance,2013

2. The cost of stock market integration in emerging markets;Bae;Asia-Pac. J. Financ. Stud,2015

3. The intertemporal capital asset pricing model with dynamic conditional correlations;Bali;J. Monet. Econ,2010

4. Do hedge funds' exposures to risk factors predict their future returns?;Bali;J. Financ. Econ,2011

5. A model of investor sentiment;Barberis;J. Financ. Econ,1998

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2. Book-tax differences, dividend payout, and firm value;International Review of Financial Analysis;2024-01

3. Multi-factor Asset Pricing Models in Emerging and Developed Markets;SSRN Electronic Journal;2024

4. Market frictions and momentum premium: does stock mispricing matter? Evidence from China;Journal of Corporate Accounting & Finance;2023-10-29

5. Revisiting the momentum effect in Taiwan: The role of persistency;Pacific-Basin Finance Journal;2023-04

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