Journal ArticleDOI
Turnover and return in global stock markets
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TLDR
In this paper, the authors study how growth affects liquidity of global stock exchanges and how liquidity determines cross-sectional returns on those stock exchange index portfolios, and measure portfolio liquidity by turnover ratio computed as value of shares traded over the market capitalization.About:
This article is published in Emerging Markets Review.The article was published on 2005-04-01. It has received 54 citations till now. The article focuses on the topics: Inventory turnover & Stock exchange.read more
Citations
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International Financial Reporting Standards and the quality of financial statement information
TL;DR: In this article, the adoption of the International Financial Reporting Standards (IFRSs) in the UK and concentrates in the switch from the UK GAAP to IFRSs is discussed.
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Size, value and liquidity. Do They Really Matter on an Emerging Stock Market? ☆
TL;DR: In this paper, the authors investigate whether liquidity plays a role in pricing Polish stocks and find that, in contrast to studies on other emerging markets, they do not find convincing evidence in favour of the liquidity risk premium on the Polish stock market.
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Alternative beta risk estimators and asset pricing tests in emerging markets: The case of Pakistan
Javed Iqbal,Robert Darren Brooks +1 more
TL;DR: In this article, the applicability of two asset pricing models specifically, the CAPM and the Fama-French three factor models for an emerging stock market namely, Pakistan, was compared.
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Evaluating the performance of global emerging markets equity exchange-traded funds
David Blitz,Joop Huij,Joop Huij +2 more
TL;DR: The authors examined the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities and found that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs.
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Shanghai-Hong Kong stock connect: an analysis of Chinese partial stock market liberalization impact on the local and foreign markets
Ye Bai,Darien Yan Pang Chow +1 more
TL;DR: In this article, the authors analyzed the short and medium-term impacts of the Shanghai-Hong Kong Stock Connect on both local and foreign markets and found that the implementation of the Connect has asymmetric impacts on mainland and Hong Kong stock markets.
References
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
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Law and Finance
TL;DR: In this article, the authors examined legal rules covering protection of corporate shareholders and creditors, the origin of these rules, and the quality of their enforcement in 49 countries and found that common-law countries generally have the strongest, and French civil law countries the weakest, legal protections of investors, with German- and Scandinavian-civil law countries located in the middle.
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Legal Determinants of External Finance
TL;DR: The authors showed that countries with poorer investor protections, measured by both the character of legal rules and the quality of law enforcement, have smaller and narrower capital markets than those with stronger investor protections.
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Asset pricing and the bid-ask spread
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
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Investor Protection and Corporate Valuation
TL;DR: In this article, the authors present a model of the effects of legal protection of minority shareholders and of cash-f low ownership by a controlling shareholder on the valuation of firms and test this model using a sample of 539 large firms from 27 wealthy economies.