International Business Management
267 - 277
Adrian, T. and F. Franzoni, 2009. Learning about Beta: Time-varying factor loadings, expected returns, and the conditional CAPM. J. Empirical Finance, 16: 537-556.CrossRef |
Aydogan, K. and G. Gursoy, 2001. P/E and price-to-book ratio as predictors of stock returns in emerging equity markets. Bilken University: Working Paper.
Ball, R., 1978. Anomalies in relationship between securities yields and yield-surrogates. J. Financial Econ., 6: 103-126.Direct Link |
Banz, R.W., 1981. The relationship between return and market value of Common stocks. J. Financial Econ., 9: 3-18.Direct Link |
Basu, S., 1977. Investment performance of common stocks in relation to their Price-earnings ratios: A test of the efficient market hypothesis. J. Finance, 32: 663-682.Direct Link |
Basu, S., 1983. The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence. J. Finan. Econ., 12: 129-156.Direct Link |
Bekaert, G., C.B. Erb, C.R. Harvey and T.E. Viskanta, 1998. Distributional characteristics of emerging market returns and asset allocation. J. Portfolio Manage., 24: 102-116.CrossRef | Direct Link |
Black, F., M.C. Jensen and M.S. Scholes, 1972. The Capital Asset Pricing Model: Some Empirical Tests. In: Studies in the Theory of Capital Markets, Jensen, M. (Ed.). Praeger Publishers Inc., New York, USA., pp: 79-121.
Chan, L.K.C., Y. Hamao and J. Lakonishok, 1991. Fundamental and stock returns in Japan. J. Finance, 46: 1739-1764.CrossRef | Direct Link |
Charitou, A. and E. Constantinidis, 2004. Size and book-to-market factors in earnings and stock returns: Empirical evidence for Japan. University of Cyprus: Working Paper.
Chen, A. and E.H. Tu, 2000. Factor models under firm characteristics in emerging market: A study of taiwan stock returns. National Sut Yat-Sen University: Working Paper series.
Daniel, K., S. Titman and K.C.J. Wei, 2001. Explaining The Cross-Section of Stock Returns in Japan or Characteristics. J. Finance, 56: 743-766.Direct Link |
Fama, E.F. and K.R. French, 1992. The cross-section of expected stock returns. J. Finance, 47: 427-465.CrossRef | Direct Link |
Fama, E.F. and K.R. French, 1993. Common risk factors in the returns on stocks and bonds. J. Financial Econ., 33: 3-56.CrossRef | Direct Link |
Fama, E.F. and K.R. French, 1996. Multifactor explanations of asset pricing anomalies. J. Finance, 51: 55-84.Direct Link |
Hardianto, D. and Suherman, 2009. Pengujian fama-french three-factor model di Indonesia. J. Keuangan dan Perbankan, 13: 198-208.Direct Link |
Jaffe, J., D.B. Keim and R. Westerfield, 1989. Earnings yield, market values and stock returns. J. Finance, 45: 135-148.CrossRef |
Keim, D.B., 1983. Size-related anomalies and stock return seasonality: Further empirical evidence. J. Financial Econ., 12: 13-32.CrossRef | Direct Link |
Lam, K.S., 2002. The relationship between size, book-to-market equity ratio, earnings price ratio and return for the Hong Kong stock market. Global Finance J. 13: 163-179.Direct Link |
Lewellen, J., 1999. The time-series relation among expected return, risk and book-to-market. J. Financial Econ., 54: 5-43.CrossRef | Direct Link |
Rosenberg, B., K. Reid and R. Lanstein, 1985. Persuasive evidence of market inefficiency. J. Portfolio Manage., 11: 9-16.CrossRef | Direct Link |