We investigate whether macroeconomic factors adequately proxy for systematic influences in stock returns within the South African context. We also investigate whether a commonly used solution to factor omission in macroeconomic ...

We investigate stock market uncertainty spillovers to commodity markets using wavelet coherence and a general stock market-related Google search trends (GST)-based index to proxy for uncertainty. GST reflect stock market ...

BACKGROUND : It is accepted that the gold price impacts on the value of gold mining companies. Previous studies have shown that, in financial crises, gold is considered a ‘safe haven’ investment in developed markets. AIM ...

In the interests of the environment, many countries set limits on the use of non‐renewable energy sources and promote renewable energy sources through policy and legislation. Consequently, the demand for components for ...

The perspective of behavioural finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine ...

Equity anomalies in frontier markets appear and disappear over time. This article aims to demonstrate the predictability of which of these transient anomalies will be profitable using a Markov switching model. To do so, ...

This empirical paper comprehensively sets out the impact of underspecification on a key foundational concept in empirical finance, the linear factor model. It places emphasis on the extensive consequences of factor omission ...