Betas versus characteristics: A practical perspective

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5 Citas (Scopus)

Resumen

We apply a new dummy-variable method to examine which factor exposures (betas) and characteristics provide independent information for US stock returns in the context of the multifactor models of Hou, Xue, and Zhang and of Fama and French. We find that betas related to market, size, value, momentum, investment, and profitability factors are not priced. In contrast, firm characteristics related to size, value, investment, and profitability have significant and independent explanatory power, suggesting that they are important in determining expected returns. Finally, the cross-sectional effect of momentum is subsumed when the return on equity is factored in.

Idioma originalEnglish
Páginas (desde-hasta)1385-1413
Número de páginas29
PublicaciónEuropean Financial Management
Volumen26
N.º5
DOI
EstadoPublished - nov. 1 2020

Nota bibliográfica

Publisher Copyright:
© 2020 John Wiley & Sons Ltd.

ASJC Scopus Subject Areas

  • Accounting
  • Economics, Econometrics and Finance(all)

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