How to cite this paper
Tran, V., Duong, K., Nguyen, T & Pham, V. (2022). Forecasting the cross-sectional stock returns: Evidence from the United Kingdom.Decision Science Letters , 11(3), 289-298.
Refrences
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Angulo, L. F., Donhu, N., Prior, D., & Rialp, J. (2018). How does marketing capability impact abnormal stock returns? The mediating role of growth. Journal of Business Research, 82, 19-30. https://doi.org/10.1016/j.jbusres.2017.08.020
Bali, T. G., Brown, S. J., Murray, S., & Tang, Y. (2017). A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis, 52(6), 2369-2397. https://doi.org/10.1017/S0022109017000928
Chang, R. P., Ko, K.-C., Nakano, S., & Ghon Rhee, S. (2018). Residual momentum in Japan. Journal of Empirical Finance, 45, 283-299. https://doi.org/10.1016/j.jempfin.2017.11.005
Chemmanur, T., & Yan, A. (2019). Advertising, Attention, and Stock Returns. Quarterly Journal of Finance (QJF), 9(03), 1-51. https://doi.org/10.1142/S2010139219500095
Chen, J., & Sherif, M. (2016). Illiquidity premium and expected stock returns in the UK: A new approach. Physica A: Statistical Mechanics and its Applications, 458, 52-66. https://doi.org/10.1016/j.physa.2016.03.035
Drobetz, W., Haller, R., Jasperneite, C., & Otto, T. (2019). Predictability and the cross section of expected returns: evidence from the European stock market. Journal of Asset Management, 20(7), 508-533. https://link.springer.com/article/10.1057/s41260-019-00138-0
Duong, K. D., Nguyen, Q. N., Le, T. V., & NGUYEN, D. V. (2021). Limit-to-arbitrage factors and ivol returns puzzle: Empirical evidence from Taiwan before and during COVID-19. Annals of Financial Economics, 16(01), 2150004. https://doi.org/10.1142/S2010495221500044
Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of financial economics, 123(3), 441-463. https://doi.org/10.1016/j.jfineco.2016.11.004
Fama, E. F., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607–636. http://www.jstor.org/stable/1831028
Fletcher, J. (2019). Model comparison tests of linear factor models in UK stock returns. Finance Research Letters, 28, 281-291. https://doi.org/10.1016/j.frl.2018.05.005
Foye, J. (2018). Testing alternative versions of the Fama–French five-factor model in the UK. Risk Management, 20(2), 167-183. https://doi.org/10.1057/s41283-018-0034-3
French, J. (2017). Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets. Research in International Business and Finance, 42, 124-148. https://doi.org/10.1016/j.ribaf.2017.04.037
Guo, H., & Savickas, R. (2008). Average idiosyncratic volatility in G7 countries. The review of financial studies, 21(3), 1259-1296. https://doi.org/10.1093/rfs/hhn043
Hsieh, T.-H., Li, Y., McKillop, D. G., & Wu, Y. (2018). Liquidity skewness in the London Stock Exchange. International Review of Financial Analysis, 56, 12-18. http://dx.doi.org/10.1016/j.irfa.2017.12.006
Huynh, T. D. (2018). Explaining anomalies in Australia with a five‐factor asset pricing model. International Review of Finance, 18(1), 123-135. https://doi.org/10.1111/irfi.12125
Hyde, S., & Sherif, M. (2010). Tests of the conditional asset pricing model: further evidence from the cross‐section of stock returns. International Journal of Finance & Economics, 15(2), 198-211. https://doi.org/10.1002/ijfe.400
Jacobs, H. (2016). Market maturity and mispricing. Journal of financial economics, 122(2), 270-287. https://doi.org/10.1016/j.jfineco.2016.01.030
Kariofyllas, S., Philippas, D., & Siriopoulos, C. (2017). Cognitive biases in investors' behaviour under stress: Evidence from the London Stock Exchange. International Review of Financial Analysis, 54, 54-62. https://doi.org/10.1016/j.irfa.2017.09.003
Kelly, B. T., Moskowitz, T. J., & Pruitt, S. (2021). Understanding momentum and reversal. Journal of financial economics, 140(3), 726-743. https://doi.org/10.1016/j.jfineco.2020.06.024
Khoa, D. D., Anh, P. T. T., & Duyen, L. T. M. (2020). Testing Trade-Off Theory Between Networking Capital And Firm Value: Empirical Evidence From Vietnam. Annals of Financial Economics, 15(03), 2050013. https://doi.org/10.1142/S201049522050013X
Kongsilp, W., & Mateus, C. (2017). Volatility risk and stock return predictability on global financial crises. China Finance Review International, 7(1), 33-66. https://doi.org/10.1108/CFRI-04-2016-0021
Kubota, K., & Takehara, H. (2018). Does the Fama and French five‐factor model work well in Japan? International Review of Finance, 18(1), 137-146. https://doi.org/10.1111/irfi.12126
Lewellen, J. (2015). The Cross-section of Expected Stock Returns. Critical Finance Review, 4(1), 1–44. https://dx.doi.org/10.1561/104.00000024
Liu, J., Stambaugh, R. F., & Yuan, Y. (2019). Size and value in China. Journal of financial economics, 134(1), 48-69. https://doi.org/10.1016/j.jfineco.2019.03.008
Mselmi, N., Hamza, T., Lahiani, A., & Shahbaz, M. (2019). Pricing corporate financial distress: Empirical evidence from the French stock market. Journal of International Money and Finance, 96, 13-27. https://doi.org/10.1016/j.jimonfin.2019.04.008
Nartea, G. V., Kong, D., & Wu, J. (2017). Do extreme returns matter in emerging markets? Evidence from the Chinese stock market. Journal of Banking & Finance, 100(76), 189-197. https://doi.org/10.1016/j.jbankfin.2016.12.008
Sharma, U., & Chakraborty, M. (2019). Investing in lottery-like stocks in India. Studies in Economics and Finance, 38(3), 640-658. https://doi.org/10.1108/SEF-04-2018-0099
Stambaugh, R. F., & Yuan, Y. (2017). Mispricing factors. The review of financial studies, 30(4), 1270-1315. https://doi.org/10.1093/rfs/hhw107
Zagonov, M., & Hanke, B. (2020). Investor Attention, Lottery Stocks and the Cross-Section of Expected Returns. Economics Bulletin, 40(1), 18-34.
Zaremba, A., & Andreu, L. (2018). Paper profits or real money? Trading costs and stock market anomalies in country ETFs. International Review of Financial Analysis, 56, 181-192. http://dx.doi.org/10.1016/j.irfa.2018.01.007
Zaremba, A., & Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31, 1-15. https://doi.org/10.1016/j.ememar.2016.12.002
Zaremba, A., & Maydybura, A. (2019). The cross-section of returns in frontier equity markets: Integrated or segmented pricing? Emerging Markets Review, 38, 219-238. https://doi.org/10.1016/j.ememar.2019.02.003
Zheng, D., Li, H., & Chiang, T. C. (2017). Herding within industries: Evidence from Asian stock markets. International Review of Economics & Finance, 51, 487-509. https://doi.org/10.1016/j.iref.2017.07.005
Angulo, L. F., Donhu, N., Prior, D., & Rialp, J. (2018). How does marketing capability impact abnormal stock returns? The mediating role of growth. Journal of Business Research, 82, 19-30. https://doi.org/10.1016/j.jbusres.2017.08.020
Bali, T. G., Brown, S. J., Murray, S., & Tang, Y. (2017). A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis, 52(6), 2369-2397. https://doi.org/10.1017/S0022109017000928
Chang, R. P., Ko, K.-C., Nakano, S., & Ghon Rhee, S. (2018). Residual momentum in Japan. Journal of Empirical Finance, 45, 283-299. https://doi.org/10.1016/j.jempfin.2017.11.005
Chemmanur, T., & Yan, A. (2019). Advertising, Attention, and Stock Returns. Quarterly Journal of Finance (QJF), 9(03), 1-51. https://doi.org/10.1142/S2010139219500095
Chen, J., & Sherif, M. (2016). Illiquidity premium and expected stock returns in the UK: A new approach. Physica A: Statistical Mechanics and its Applications, 458, 52-66. https://doi.org/10.1016/j.physa.2016.03.035
Drobetz, W., Haller, R., Jasperneite, C., & Otto, T. (2019). Predictability and the cross section of expected returns: evidence from the European stock market. Journal of Asset Management, 20(7), 508-533. https://link.springer.com/article/10.1057/s41260-019-00138-0
Duong, K. D., Nguyen, Q. N., Le, T. V., & NGUYEN, D. V. (2021). Limit-to-arbitrage factors and ivol returns puzzle: Empirical evidence from Taiwan before and during COVID-19. Annals of Financial Economics, 16(01), 2150004. https://doi.org/10.1142/S2010495221500044
Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of financial economics, 123(3), 441-463. https://doi.org/10.1016/j.jfineco.2016.11.004
Fama, E. F., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607–636. http://www.jstor.org/stable/1831028
Fletcher, J. (2019). Model comparison tests of linear factor models in UK stock returns. Finance Research Letters, 28, 281-291. https://doi.org/10.1016/j.frl.2018.05.005
Foye, J. (2018). Testing alternative versions of the Fama–French five-factor model in the UK. Risk Management, 20(2), 167-183. https://doi.org/10.1057/s41283-018-0034-3
French, J. (2017). Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets. Research in International Business and Finance, 42, 124-148. https://doi.org/10.1016/j.ribaf.2017.04.037
Guo, H., & Savickas, R. (2008). Average idiosyncratic volatility in G7 countries. The review of financial studies, 21(3), 1259-1296. https://doi.org/10.1093/rfs/hhn043
Hsieh, T.-H., Li, Y., McKillop, D. G., & Wu, Y. (2018). Liquidity skewness in the London Stock Exchange. International Review of Financial Analysis, 56, 12-18. http://dx.doi.org/10.1016/j.irfa.2017.12.006
Huynh, T. D. (2018). Explaining anomalies in Australia with a five‐factor asset pricing model. International Review of Finance, 18(1), 123-135. https://doi.org/10.1111/irfi.12125
Hyde, S., & Sherif, M. (2010). Tests of the conditional asset pricing model: further evidence from the cross‐section of stock returns. International Journal of Finance & Economics, 15(2), 198-211. https://doi.org/10.1002/ijfe.400
Jacobs, H. (2016). Market maturity and mispricing. Journal of financial economics, 122(2), 270-287. https://doi.org/10.1016/j.jfineco.2016.01.030
Kariofyllas, S., Philippas, D., & Siriopoulos, C. (2017). Cognitive biases in investors' behaviour under stress: Evidence from the London Stock Exchange. International Review of Financial Analysis, 54, 54-62. https://doi.org/10.1016/j.irfa.2017.09.003
Kelly, B. T., Moskowitz, T. J., & Pruitt, S. (2021). Understanding momentum and reversal. Journal of financial economics, 140(3), 726-743. https://doi.org/10.1016/j.jfineco.2020.06.024
Khoa, D. D., Anh, P. T. T., & Duyen, L. T. M. (2020). Testing Trade-Off Theory Between Networking Capital And Firm Value: Empirical Evidence From Vietnam. Annals of Financial Economics, 15(03), 2050013. https://doi.org/10.1142/S201049522050013X
Kongsilp, W., & Mateus, C. (2017). Volatility risk and stock return predictability on global financial crises. China Finance Review International, 7(1), 33-66. https://doi.org/10.1108/CFRI-04-2016-0021
Kubota, K., & Takehara, H. (2018). Does the Fama and French five‐factor model work well in Japan? International Review of Finance, 18(1), 137-146. https://doi.org/10.1111/irfi.12126
Lewellen, J. (2015). The Cross-section of Expected Stock Returns. Critical Finance Review, 4(1), 1–44. https://dx.doi.org/10.1561/104.00000024
Liu, J., Stambaugh, R. F., & Yuan, Y. (2019). Size and value in China. Journal of financial economics, 134(1), 48-69. https://doi.org/10.1016/j.jfineco.2019.03.008
Mselmi, N., Hamza, T., Lahiani, A., & Shahbaz, M. (2019). Pricing corporate financial distress: Empirical evidence from the French stock market. Journal of International Money and Finance, 96, 13-27. https://doi.org/10.1016/j.jimonfin.2019.04.008
Nartea, G. V., Kong, D., & Wu, J. (2017). Do extreme returns matter in emerging markets? Evidence from the Chinese stock market. Journal of Banking & Finance, 100(76), 189-197. https://doi.org/10.1016/j.jbankfin.2016.12.008
Sharma, U., & Chakraborty, M. (2019). Investing in lottery-like stocks in India. Studies in Economics and Finance, 38(3), 640-658. https://doi.org/10.1108/SEF-04-2018-0099
Stambaugh, R. F., & Yuan, Y. (2017). Mispricing factors. The review of financial studies, 30(4), 1270-1315. https://doi.org/10.1093/rfs/hhw107
Zagonov, M., & Hanke, B. (2020). Investor Attention, Lottery Stocks and the Cross-Section of Expected Returns. Economics Bulletin, 40(1), 18-34.
Zaremba, A., & Andreu, L. (2018). Paper profits or real money? Trading costs and stock market anomalies in country ETFs. International Review of Financial Analysis, 56, 181-192. http://dx.doi.org/10.1016/j.irfa.2018.01.007
Zaremba, A., & Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31, 1-15. https://doi.org/10.1016/j.ememar.2016.12.002
Zaremba, A., & Maydybura, A. (2019). The cross-section of returns in frontier equity markets: Integrated or segmented pricing? Emerging Markets Review, 38, 219-238. https://doi.org/10.1016/j.ememar.2019.02.003
Zheng, D., Li, H., & Chiang, T. C. (2017). Herding within industries: Evidence from Asian stock markets. International Review of Economics & Finance, 51, 487-509. https://doi.org/10.1016/j.iref.2017.07.005