Open AccessPosted Content
Digesting Anomalies: An Investment Approach
Kewei Hou,Chen Xue,Lu Zhang +2 more
TLDR
In this paper, the authors proposed a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor.Abstract:
Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, equity issues, as well as on investment and return-on-equity; [ii] performs similarly as the Carhart model in pricing portfolios on momentum as well as on size and book-to-market; but [iii] underperforms in pricing the total accrual deciles Our model's performance, combined with its clear economic intuition, suggests that it can serve as a new workhorse model for academic research and investment management practiceread more
Citations
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Journal ArticleDOI
The cross section of country equity returns: A review of empirical literature
TL;DR: A comprehensive review of the current literature on the cross-section of country equity returns can be found in this article, where the authors focus on three particular aspects of the asset pricing literature.
Journal ArticleDOI
Are Cash Flows Better Stock Return Predictors than Profits
TL;DR: In this paper, the authors transform indirect method cash flow statements into disaggregated and more direct estimates of cash flows from operations and other sources and form portfolios on the basis of these measures.
Journal ArticleDOI
Global Equity Country Allocation: An Application of Factor Investing
TL;DR: In this paper, a global factor allocation strategy using country indexes and portfolio construction methodologies that are robust to estimation error is presented, which is based on the paradigm of factor investing.
Journal ArticleDOI
COVID-19, bitcoin market efficiency, herd behaviour
Emna Mnif,Anis Jarboui +1 more
TL;DR: In this article, the authors analyzed the Bitcoin dynamics and the investor response by focusing on herd biases and investigated the degree of efficiency through multifractal analysis in order to detect herd behavior leading to build the best predictions and strategies.
Book ChapterDOI
Estimation of large dimensional conditional factor models in finance
TL;DR: In this paper, a survey of recent econometric methodologies for inference in large dimensional conditional factor models in finance is presented, and the authors discuss the impact on computing time-varying cost of equity for a firm, and summarize differences between results for developed and emerging markets in an international setting.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
Journal ArticleDOI
Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
Journal ArticleDOI
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
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CAPM tests and alternative factor portfolio composition: getting the alphas right
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