We perform a comprehensive examination of the role of stock-level liquidity in the cross-
section of frontier market stock returns. Using several popular liquidity measures and a …

Is asset pricing segmented or integrated in frontier equity markets? To answer this question,
we examine the returns on more than 4500 stocks from 22 frontier countries for the years …

Is asset pricing integrated across Islamic and non-Islamic stocks? To answer this question,
we identify and replicate 167 equity anomalies from the finance literature in over 1500 …

We are the first to compare the explanatory power of the major empirical asset pricing
models over equity anomalies in the frontier markets. We replicate over 160 stock market …

Research background: Exponential growth of passive mutual funds after 2007? 2008 global
financial crisis put pressure on active fund managers to lower the management fees. The …

Frontier markets are considered a good destination for international diversification due to
their low level of integration with global markets. However, a diversification strategy into …

The authors evaluate and compare the usefulness of various valuation ratios for equity
country allocation. To this end, the performance of 73 national equity indexes is investigated …

Design/Methodology/Approach: Stock market data, from January 2007 to December 2015,
are used to construct the risk factors for the stock market in the MENA region. The single …

Many variables have been used to explain a significant proportion of the cross-section of
returns, mainly size and book-to-market. We investigate whether stock returns in the frontier …

Poland has a very fragmented open-end investment fund market with management fees
which are the double of what fund participants pay in developed European countries. In this …