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Document type:
Zeitschriftenaufsatz
Author(s):
Windmüller, Steffen
Non-TUM Co-author(s):
nein
Cooperation:
national
Title:
Firm Characteristics and Global Stock Returns: A Conditional Asset Pricing Model
Abstract:
This paper studies the relation between 36 firm-level characteristics and stock returns in 48 countries using instrumented principal components analysis (IPCA). 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 coun...     »
Keywords:
Factor model; International stock markets; Return predictability; IPCA
Intellectual Contribution:
Discipline-based Research
Journal title:
Review of Asset Pricing Studies
Journal listet in FT50 ranking:
nein
Year:
2021
Journal volume:
(forthcoming)
Pages contribution:
-
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:https://doi.org/10.1093/rapstu/raab024
WWW:
https://doi.org/10.1093/rapstu/raab024
Status:
Erstveröffentlichung
Submitted:
28.01.2021
Accepted:
30.07.2021
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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