This paper compares various machine learning models to predict the cross-section of
emerging market stock returns. We document that allowing for non-linearities and interactions …

This paper seeks to uncover the drivers of the idiosyncratic momentum anomaly. We show
that: (i) idiosyncratic momentum is a distinct phenomenon that exists next to conventional …

In this paper, we examine size, value, and momentum patterns in the stock returns of four
emerging market regions—Latin America, EMEA, Asia, and BRIC. We document a strong and …

Using monthly stock returns from 28 emerging market countries and a total sample period of
21 years, we investigate the predictive power of a broad set of factors. We document that the …

The new Fama–French five-factor model is likely to become the new benchmark for asset
pricing studies. Although the five-factor model exhibits significantly improved explanatory …

The prolonged poor performance of the value factor has led to doubts about whether the
value premium still exists. Some have noted that the observed returns still fall within statistical …

I compare commonly employed factor models across 50 non-US developed and emerging
market countries by ranking them based on their maximum Sharpe ratios. Consistent with the …

Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily
due to market friction concerns. However, this paper demonstrates that investors can …

This paper compares the performance of three enhanced momentum strategies proposed in
the literature: constant volatility-scaled momentum, constant semi-volatility-scaled …

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen
gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich …