What Factors Drive Global Stock Returns?

• 成果类型: Article
• 署名作者: Hou, Kewei; Karolyi, G. Andrew; Kho, Bong-Chan
• 署名单位: Cornell University; University System of Ohio; Ohio State University; Seoul National University (SNU)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr013
• 发表日期: 2011
• 页码: 2527
• 关键词: MOMENTUM STRATEGIES; Expected returns; cross-section; risk-factors; WORLD PRICE; MARKET; equilibrium; liquidity; anomalies; MODEL

摘要

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.