...; each investor has their unique forecasts and levels of conviction. Second, investors are not risk neutral and have non-linear utility functions; the paper adapts an established utility function from behavioral finance. Third, most market participants find an asset’s price too high to buy and too low...

... month. By contrast, the new value strategy yields a strong and consistent average return of 1.18%, which is significant after controlling for asset pricing models. The NVF subsumes the original factor and provides sizable alpha in spanning regression as well as a statistically positive premium...

...Huong Le; Andros Gregoriou Purpose This paper aims to empirically examine the relationship between stock liquidity and asset pricing, using a new price impact ratio adjusted for free float as the approximation of liquidity. The free-float-adjusted ratio is free from size bias and encapsulates...

...Rahul Roy; Santhakumar Shijin Purpose The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan. Design/methodology/approach The study uses a six-factor asset pricing model to derive the realized volatility...

.... Originality/value To the best of the authors’ knowledge, this is the first attempt to examine this asset pricing anomaly in the PIIGS. Although there is empirical evidence supporting the EMH, the debate remains. Indeed, significant empirical research has devoted efforts to identify and understand...

...Moinak Maiti; A. Balakrishnan Purpose The purpose of this paper is to focus on one of the major emerging Asian economies – India – to examine the role of human capital in asset prices. Design/methodology/approach The analysis uses various statistical techniques (e.g. multifactor regression...

... cross‐sectional regression model, based on Hong Kong equity data. Findings The paper postulates a five‐factor asset pricing model, which hypothesizes that five risk factors are relevant in the pricing of equity stocks, namely beta, size, book‐to‐market equity, market leverage, and share price...