Does financial integration impact performance of equity anomalies?
We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the str...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Taylor & Francis Group
2022-12-01
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Series: | Cogent Economics & Finance |
Subjects: | |
Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2111802 |