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Individualism and Momentum Around the World
This paper examines how cultural differences influence the returns of momentum strategies. Cross-country cultural differences are measured with an individualism index developed by Hofstede (2001) ,Expand
Capital Investments and Stock Returns
Firms that substantially increase capital investments subsequently achieve negative benchmark-adjusted returns. The negative abnormal capital investment/return relation is shown to be stronger forExpand
Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets
This paper examines momentum profits in eight Asian markets with a focus on ownership structure, legal systems and valuation uncertainty. The results indicate that momentum strategies, which buy pastExpand
Tunneling or Propping: Evidence from Connected Transactions in China
Friedman et al. (2003) develop a model in which, in equilibrium, controlling shareholders may choose either tunneling or propping of their listed companies depending on the magnitude of an adverseExpand
Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?
Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associatedExpand
The Impacts of Political Uncertainty on Asset Prices: Evidence from the Bo Scandal in China
Models of political risk predict that increases in political uncertainty cause stock prices to fall, especially for politically sensitive firms. We use the event of the Bo Xilai political scandal inExpand
The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns
We test the implications of anchoring bias associated with forecast earnings per share (FEPS) for forecast errors, earnings surprises, stock returns, and stock splits. We find that analysts makeExpand
Corporate Governance and Conditional Skewness in the World's Stock Markets
We investigate why stock returns in emerging markets tend to be more positively skewed than those in developed markets. We argue that differences in the quality of corporate governance matter toExpand
Disclosure, Corporate Governance, and the Cost of Equity Capital: Evidence from Asia's Emerging Markets
This paper examines the effects of disclosure and other corporate governance mechanisms on the cost of equity capital in Asia's emerging markets with newly released surveys from Credit LyonnaisExpand
Liquidity Risk and Stock Returns Around the World
The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and sizeExpand
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