...Hakan Aygoren; Emrah Balkan Purpose The aim of this study is to investigate the role of efficiency in capital asset pricing. The paper explores the impact of a four-factor model that involves an efficiency factor on the returns of Nasdaq technology firms. Design/methodology/approach The paper...

...Vaibhav Lalwani; Madhumita Chakraborty Purpose The purpose of this paper is to compare the performance of various multifactor asset pricing models across ten emerging and developed markets. Design/methodology/approach The general methodology to test asset pricing models involves regressing...

... in the asset pricing literature. The firms are sorted into portfolios based on profitability and momentum, and the combined performance is studied through independent double sorting. Both value-weighted and equally weighted returns are reported in case of key empirical results. Findings The combined...

... is a new type of commonality documented by Amihud et al. (2015) . In Sections 5 and 6, we review the connection between liquidity and asset pricing, and liquidity in corporate finance. The final section concludes and discusses areas for future research. In this paper, we review recent...

... suggests very low risk and unexplained excess returns. However, many academics suggest the residential real estate market is unique and standard asset pricing models may not fully capture the risk associated with the housing market. The purpose of this paper is to extend the asset pricing literature...

... for both subperiods. Research limitations/implications While risk and returns are important for asset pricing and risk management, most financial researchers consider them from a fundamental perspective. This paper's results suggest that selling activity of uninformed traders can significantly...