The DOI matches its Crossref record; 92 of the 92 references it cites were found in a registry or an index.
What Factors Drive Global Stock Returns?
Abstract
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cash flow-to-price captures significant time-series variation in global stock returns, and has lower pricing errors and fewer model rejections than the global CAPM or a popular model that uses size and book-to-market factors. We find reliable evidence that the global cash flow-to-price factor is related to a covariance risk model. In contrast, we reject the covariance risk model in favor of a characteristic model for size and book-to-market factors.
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Citations
Cites
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Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
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FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
An Intertemporal Capital Asset Pricing Model
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Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Choi, D., Gao, Z., & Jiang, W. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz086 · Cited by 1,117
Climate risks and market efficiency
Hong, H., Li, F. W., & Xu, J. (2019) · Journal of Econometrics · doi:10.1016/j.jeconom.2018.09.015 · Cited by 967
International tests of a five-factor asset pricing model
Fama, E. F., & French, K. R. (2017) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.11.004 · Cited by 927
Metadata
- Authors
- Hou, K., Karolyi, G. A., & Kho, B.-C.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2011-05-16
- Volume
- 24
- Issue
- 8
- Pages
- 2527-2574
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3122909691
- Cited by
- 572
- References
- 92
- FWCI
- 57.55
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
