کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
968495 1479348 2016 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Identifying the relative importance of stock characteristics
ترجمه فارسی عنوان
شناسایی اهمیت نسبی ویژگی های سهام
کلمات کلیدی
ویژگی های سهام؛ مدل های عاملی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We study the relative importance of characteristics in explaining UK stock returns.
• We use a semiparametric characteristic-based factor model.
• The momentum factor can best explain stock returns.

There is no consensus in the literature as to which stock characteristic best explains returns. In this study, we employ a novel econometric approach better suited than the traditional characteristic sorting method to answer this question for the UK market. We evaluate the relative explanatory power of market, size, momentum, volatility, liquidity and book-to-market factors in a semiparametric characteristic-based factor model which does not require constructing characteristic portfolios. We find that momentum is the most important factor and liquidity is the least important based on their relative contribution to the fit of the model and the proportion of sample months for which factor returns are significant. Overall, this study provides strong evidence to support that the momentum characteristic can best explain stock returns in the UK market. The econometric approach employed in this study is a novel way to assess relevant investment risk in international financial markets outside U.S. Moreover, multinational institutions and investors can use this approach to identify regional factors in order to diversify their portfolios.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 34, March 2016, Pages 80–91
نویسندگان
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