Using a large international equity market database that has not been previously used for
such a purpose, this paper documents that value (ie, high book-to-market) stocks outperform …

This paper tests the Fama-French three-factor pricing model augmented by a momentum
factor on the Canadian stock market. Using Fama-French's methodology to construct the risk …

Two unique experiments are conducted. First, we evaluate returns to the best value and
momentum strategies combined by:(i) a long portfolio of stocks classified as both value …

The four risk factors controlling for the market, size, value, and momentum effect have
become a state-of-the-art framework for various applications in financial markets research …

We examine value and growth portfolios in seven East Asian countries just before the
onslaught of the 1997 Asian Financial Crisis. The value premiums in these countries, except …

This paper analyses fund management styles on the Euronext stock exchanges. Especially,
we investigate how social responsibility is accounted for. We use style analysis to assess …

We studied empirically American no‐load equity mutual funds that invest in European stocks
and keep their managers for more than three years, in order to investigate the persistence of …

Strategies that entailed country selection based on relative strength (momentum) posted
significant market risk–adjusted returns over the past 30 years, but relative-value strategies …

This paper investigates the returns to value strategies in four Asian stock markets: Hong
Kong, Korea, Singapore and Taiwan. Hong Kong, Korea and Singapore exhibit value …

International studies on the cross-section of returns diff er strongly in respect to the empirical
design. In this paper I cover wide range of international papers to give an overview of …