What Factors Drive Global Stock Returns

2011

462 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/ac9e9b2d9e04a04746bce9e71a937bc5704bee06

Citations in the corpus

• Dissecting Characteristics Nonparametrically (2020, unknown): “A Related Literature The capital asset pricing model (CAPM) of Sharpe (1964), Lintner (1965), and Mossin (1966) predicts that an asset’s beta with respect to the market portfolio is a sufficient statistic for the cross section of expected returns.”
• The Investment Manifesto (2013, unknown): “In addition, Hou et al. (2011, p. 2530) use global stock returns to examine: ''whether the cross-sectional explanatory power of our global factor-mimicking portfolios is directly related to the firm-level characteristics on which they are based – for such reasons as investor over-or under-reaction…”
• Home Away From Home: Geography of Information and Local Investors (2015, unknown): “This analysis is similar to those performed by Griffin (2002) and Hou, Karolyi, and Kho (2011) for evaluating global versus domestic factor models in an international context.”
• The Asset Growth Effect: Insights from International Equity Markets (2013, unknown): “As such, our study joins the expanding literature (e.g., McLean, Pontiff, and Watanabe, 2009; Hou, Karolyi, and Kho, 2011) that looks at international evidence for various forms of stock return predictability originally documented in the U.S.”
• Climate risks and market efficiency (2017, unknown): “We show that this spread persists even after accounting for different industry and country characteristics. We can re-run our analysis by using only trend rankings calculated at the end of 1984. That is, for the remaining years of our sample from 1985-2014, we fix the rankings and just track this se”
• Size, value, and momentum in emerging market stock returns (2013, unknown): “…the recent results presented in Asness, Moskowitz, and Pedersen (2009), Fama and French (1998, 2011), Griffin (2002), Griffin, Ji, and Martin (2003), Hou, Karolyi, and Kho (2011), and Rouwenhorst (1998) for US and developed markets and in Fama and French (1998), van der Hart, Slagter, and van Dijk…”
• Why do some banks contribute more to global systemic risk? (2018, unknown): “Hovakimian et al. (2012) analyze quarterly data of U.S. banks over the period of 1974 to 2010 and find that systemic risk is driven by size, leverage and asset risk. In addition to these factors, Brunnermeier et al. (2012) hypothesize and confirm that non-core activities of banks in the form of non-”