Comovement in Anomalies between the Australian and US Equity Markets*
Author:
Affiliation:
1. Swinburne Business School Swinburne University of Technology Melbourne Australia
2. Department of Banking and Finance Monash University Melbourne Australia
3. School of Economics, Finance and Marketing RMIT University Melbourne Australia
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/irfi.12249
Reference36 articles.
1. The illiquidity premium: International evidence
2. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence;Ang A.;Journal of Finance,2009
3. Maxing out: Stocks as lotteries and the cross-section of expected returns
4. International Stock Return Comovements
5. When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?;Calluzzo P.;Management Science,2018
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