The DOI matches its Crossref record; 118 of the 118 references it cites were found in a registry or an index.
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
Open accessAbstract
We take up Cochrane’s (2011) challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data snooping bias. We find that while 12 characteristics are reliably independent determinants in non-microcap stocks during 1980-2014 as a whole, return predictability fell sharply in 2003 such that just two characteristics have been independent determinants since then. Outside of microcaps, the hedge returns to exploiting characteristics-based predictability have also been insignificantly different from zero since 2003.
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Metadata
- Authors
- Green, J., Hand, J. R. M., & Zhang, X. F.
- Venue
- The Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2017-03-27
- Volume
- 30
- Issue
- 12
- Pages
- 4389-4436
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3121274430
- Cited by
- 675
- References
- 118
- FWCI
- 65.79
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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