Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-09-30 DOI:10.1093/rapstu/raab024

Steffen Windmüller

引用次数: 0

Abstract

This paper studies the relation between 36 firm-level characteristics and stock returns in 48 countries using instrumented principal components analysis. A non-U.S. country-neutral conditional factor model performs well in describing risk and returns and generates small and statistically insignificant anomaly intercepts when allowing for three or more latent factors. The non-U.S. model performs better in emerging than in developed markets, while showing substantial differences across countries. On average, only 10 characteristics significantly contribute to the models’ performance. Market beta, momentum, and firm size characteristics instrument for systemic exposure in U.S. and non-U.S. models, while investment and book-to-market do not. (JEL G11, G12, G14, G15)

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企业特征与全球股票收益:一个条件资产定价模型

本文采用主成分分析方法对48个国家的36个企业特征与股票收益之间的关系进行了研究。一个美国。国家中立条件因素模型在描述风险和回报方面表现良好，并且在允许三个或更多潜在因素时产生小且统计上不显著的异常拦截。美国之外。模型在新兴市场的表现优于发达市场，但在不同国家之间表现出巨大差异。平均而言，只有10个特征对模型的性能有显著贡献。市场贝塔系数、动量和公司规模特征是衡量美国和非美国系统性风险敞口的工具。模型，而投资和账面市值比不需要。(凝胶g11, g12, g14, g15)

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.