Oumar Sy

Dalhousie University

6225 University Avenue

Halifax, Nova Scotia B3H 4H7

Canada

SCHOLARLY PAPERS

10

DOWNLOADS

1,620

SSRN CITATIONS

11

CROSSREF CITATIONS

6

Scholarly Papers (10)

1.

Endogeneity in Asset Pricing Tests: Theory, Evidence, and Solutions

Number of pages: 61 Posted: 01 Mar 2018 Last Revised: 26 Jul 2021
Oumar Sy
Dalhousie University
Downloads 474 (85,478)

Abstract:

Loading...

Endogeneity, Asset-pricing tests, CAPM, noise, instrumental variables estimation, systematic risk, beta, abnormal return, alpha, time-series tests, anomalies, size, value, momentum

2.

A Three-Moment International Asset-Pricing Model: Theory and Evidence

Number of pages: 46 Posted: 14 Nov 2005
Vihang R. Errunza and Oumar Sy
McGill University - Desautels Faculty of Management and Dalhousie University
Downloads 389 (107,594)
Citation 7

Abstract:

Loading...

International asset pricing, nonlinearity, anomaly, size, value, momentum

3.

Is Exchange Risk Priced Beyond Intertemporal Risk?

Number of pages: 33 Posted: 13 Oct 2005
University of Geneva - Geneva Finance Research Institute (GFRI), Kennesaw State University - Michael J. Coles College of Business and Dalhousie University
Downloads 137 (290,051)

Abstract:

Loading...

International asset pricing models, exchange risk, intertemporal risk

4.

Is It Time to Embrace the Alpha?

Number of pages: 43 Posted: 02 Nov 2014
Maria Pacurar and Oumar Sy
Dalhousie University - Rowe School of Business and Dalhousie University
Downloads 120 (320,126)

Abstract:

Loading...

CAPM, multifactor asset-pricing models, alpha, beta, size, value, and momentum effects, international stock returns, misspecified models

5.

Diversification during Hard Times

Number of pages: 40 Posted: 18 May 2021 Last Revised: 20 Jul 2021
Najah Attig and Oumar Sy
Dalhousie University and Dalhousie University
Downloads 116 (327,810)

Abstract:

Loading...

International diversification; Industrial diversification; Global financial crisis; COVID-19 pandemic; Recessions; Bear market; VIX

6.

Resolving the Presidential Puzzle

Financial Management, 40: 331-355, 2011
Number of pages: 47 Posted: 12 Oct 2014 Last Revised: 24 May 2019
Dalhousie University and Sobey School of Business, St. Mary's University, CanadaSaint Mary's University
Downloads 114 (331,839)
Citation 11

Abstract:

Loading...

7.

Politics and Stock Returns: A Rationalization

Number of pages: 23 Posted: 24 Jul 2012
Sobey School of Business, St. Mary's University, CanadaSaint Mary's University and Dalhousie University
Downloads 112 (335,990)

Abstract:

Loading...

Asset pricing, CAPM, Presidential puzzle, Cross sectional test

8.

Event Studies in International Finance Research

Number of pages: 41 Posted: 02 May 2022 Last Revised: 04 May 2022
University of Alberta - Campus Saint-Jean, University of South Carolina - Moore School of Business, Virginia Polytechnic Institute & State University and Dalhousie University
Downloads 67 (457,513)

Abstract:

Loading...

Event studies; international finance; stock markets; bond markets

9.

Gridlock versus Harmony: The Effect of Presidential Cycle

Int. J. Portfolio Analysis and Management 1 (3), 2013, pp.288-298
Number of pages: 19 Posted: 02 Feb 2013 Last Revised: 18 Jun 2013
Dalhousie University and Sobey School of Business, St. Mary's University, CanadaSaint Mary's University
Downloads 62 (475,612)

Abstract:

Loading...

Gridlock, Harmony, Presidential Cycle, Equity return

10.

Is the Presidential Premium Spurious

Journal of Empirical Finance, Vol. 56, 2020
Number of pages: 41 Posted: 02 Dec 2020
Dalhousie University and Sobey School of Business, St. Mary's University, CanadaSaint Mary's University
Downloads 29 (636,215)

Abstract:

Loading...

Presidential premium; Presidential puzzle; Spurious regression bias; Data mining; Economic policy uncertainty