Pricing the common stocks in an emerging capital market: Comparison of the factor models

Ammann, 2012, An alternative three-factor model for international markets: Evidence from the European Monetary Union, Journal of Banking & Finance, 36, 1857, 10.1016/j.jbankfin.2012.02.001 Azimli, 2019, Pricing the accrual effect in an emerging market, Economic Research-Ekonomska Istrazivanja, 32, 2180, 10.1080/1331677X.2019.1645715 Ball, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics, 121, 28, 10.1016/j.jfineco.2016.03.002 Bildik, 2007, Profitability of contrarian strategies: Evidence from the Istanbul stock exchange, International Review of Finance, 7, 61, 10.1111/j.1468-2443.2007.00068.x Cakici, 2013, Size, value, and momentum in emerging market stock returns, Emerging Markets Review, 16, 45 Chan, 1991, Structural and return characteristics of small and large firms, The Journal of Finance, 46, 1467, 10.1111/j.1540-6261.1991.tb04626.x Chiah, 2016, A better model? An empirical investigation of the Fama-French five-factor model in Australia, International Review of Finance, 16, 595, 10.1111/irfi.12099 Cooper, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance, 63, 1609, 10.1111/j.1540-6261.2008.01370.x Demirer, 2002, An investigation of the day-of-the-week effect on stock returns of Turkey, Emerging Markets Finance and Trade, 38, 47 Fama, 1981, Stock returns, real activity, inflation, and money, The American Economic Review, 71, 545 Fama, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 2006, Profitability, investment and average returns, Journal of Financial Economics, 82, 491, 10.1016/j.jfineco.2005.09.009 Fama, 2012, Size, value and momentum in international stock returns, Journal of Financial Economics, 105, 457, 10.1016/j.jfineco.2012.05.011 Fama, 2015, A five-factor asset pricing model, Journal of Financial Econometrics, 116, 1, 10.1016/j.jfineco.2014.10.010 Fama, 2016, Dissecting anomalies with a five-factor model, Review of Financial Studies, 29, 69, 10.1093/rfs/hhv043 Fama, 2017, International test of a five-factor asset pricing model, Journal of Financial Economics, 123, 441, 10.1016/j.jfineco.2016.11.004 Fama, 1973, Risk, return, and Equilibrium: Empirical tests, The Journal of Political Economy, 81, 607, 10.1086/260061 Fama, 1977, Asset returns and inflation, Journal of Financial Economics, 5, 115, 10.1016/0304-405X(77)90014-9 Gibbons, 1989, A test of the efficiency of given portfolio, Econometrica, 57, 1121, 10.2307/1913625 Gonenc, 2003, Do value stocks earn higher return than growth stocks in an emerging market? Evidence from the Istanbul stock exchange, Journal of International Financial Management & Accounting, 14, 1, 10.1111/1467-646X.00088 Guo, 2017, The five-factor asset pricing model test for the Chinese stocks market, Pacific-Basin asset pricing model test for the Chinese stock market, 43, 84 Hou, 2016, Digesting anomalies: An investment approach, Review of Financial Studies, 28, 650, 10.1093/rfs/hhu068 Huberman, 1987, Mean-variance spanning, The Journal of Finance, 42, 873, 10.1111/j.1540-6261.1987.tb03917.x Jegadeesh, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance, 48, 65, 10.1111/j.1540-6261.1993.tb04702.x Kubota, 2018, Does the Fama and French five-factor model work well in Japan?, International Review of Finance, 18, 137, 10.1111/irfi.12126 Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Novy-Marx, 2013, The other side of value: The gross profitability premium, Journal of Financial Economics, 108, 1, 10.1016/j.jfineco.2013.01.003 Ozkan, 2015, The accrual anomaly: Evidence from Borsa Istanbul, Borsa İstanbul Review, 15, 115, 10.1016/j.bir.2015.01.002 Sharpe, 1964, Capital asset pricing: A theory of market equilibrium under conditions of risk, The Journal of Finance, 19, 425 Sloan, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review, 71, 289 Yurtoglu, 2000, Ownership, control and performance of Turkish listed firms, Economica, 27, 93 Zaremba, 2017, Digesting anomalies in emerging European markets: A comparison of factor pricing models, Emerging Markets Review, 31, 1, 10.1016/j.ememar.2016.12.002