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

Illiquidity and stock returns: Cross-section and time-series effects

Steffen Windmüller

The Review of Asset Pricing Studies, 2022, vol. 12, issue 2, 447-499

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)Received January 28, 2021; editorial decision July 30, 2021

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1093/rapstu/raab024 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:12:y:2022:i:2:p:447-499.

Access Statistics for this article

The Review of Asset Pricing Studies is currently edited by Zhiguo He

More articles in The Review of Asset Pricing Studies from Society for Financial Studies
Bibliographic data for series maintained by Oxford University Press ().