Salience theory and the cross-section of stock returns: International and further evidence

• 成果类型: Article
• 署名作者: Cakici, Nusret; Zaremba, Adam
• 署名单位: Fordham University; Montpellier Business School; Poznan University of Economics & Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.10.010
• 发表日期: 2022
• 页码: 689-725
• 关键词: Salience theory; asset pricing; Return predictability; Equity anomalies; International markets

摘要

Motivated by existing evidence of the salience theory (ST) effect in the United States, we investigate its importance in 49 countries over the past three decades. Initial results sug-gest a negative relationship between the ST measure and future returns. The underperfor-mance of low ST stocks is the strongest in countries with high idiosyncratic risk. However, the salience effect has three vital limitations. First, a substantial part of the anomaly can be attributed to the short-term return reversal. Second, it is priced primarily among mi-crocaps. Third, the premium is realized predominantly following severe down markets and volatility spikes. Outside of microcaps and extreme market conditions, the salience effect does not exist. (c) 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )