The Characteristics that Provide Independent Information about Average US Monthly Stock Returns

• 成果类型: Article
• 署名作者: Green, Jeremiah; Hand, John R. M.; Zhang, X. Frank
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of North Carolina; University of North Carolina Chapel Hill; Yale University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx019
• 发表日期: 2017
• 页码: 4389
• 关键词: false discovery rate; cross-section; presidential-address; INVESTMENT FRICTIONS; ASSET GROWTH; anomalies; earnings; RISK; liquidity; winners

摘要

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 from 1980 to 2014 as a whole, return predictability sharply fell in 2003 such that just two characteristics have been independent determinants since then. Outside of microcaps, the hedge returns to exploiting characteristics-based predictability also have been insignificantly different from zero since 2003.