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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns

Blackburn, Douglas W. - 2017

Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...

Persistent link: https://www.econbiz.de/10012958130

Frontier Stock Markets : Local vs Global Factors

Blackburn, Douglas W. - 2017

small market cap stocks. Empirical asset pricing models are not able to explain the observed value and momentum return … patterns. Local asset pricing models, which use factors constructed from frontier market returns, and global asset pricing …-factor model strongly outperforms the local single-factor capital asset pricing model (CAPM) for all regions, and the local four …

Persistent link: https://www.econbiz.de/10012961374

Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns

Blackburn, Douglas W. - 2019

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012901804

Overreaction and the Cross-Section of Returns : International Evidence

Blackburn, Douglas W. - 2017

Theory has linked price momentum with price reversals (Barberis, Shleifer, and Vishny (1998), Daniel, Hirshleifer, and Subrahmanyam (1998), and Hong and Stein (1999)). The models generally rely on behavioral descriptions of irrational investors who push prices beyond their fundamental value thus...

Persistent link: https://www.econbiz.de/10012968974

Alternative Profitability Measures and Cross Section of Expected Stock Returns : International Evidence

Cakici, Nusret - 2020

This paper provides an extensive international analysis of the cross-sectional return predictive power of a variety of firm-level profitability measures, calculated from different combinations of measures of earnings and scaling variables. We show that this cross-sectional predictive relation is...

Persistent link: https://www.econbiz.de/10012854295

Size, Value, Profitability, and Investment Effects in International Stock Returns : Are They Really There?

Cakici, Nusret; Zaremba, Adam - 2021

Using data on 65,000 stocks from 23 countries, the authors re-evaluate the performance of the Fama-French (2015) factors in global markets. The results provide convincing evidence that the value, profitability, and investment factors are far less reliable than commonly thought. Their performance...

Persistent link: https://www.econbiz.de/10013226512

Liquidity and the Cross-Section of International Stock Returns

Cakici, Nusret; Zaremba, Adam - 2021

pricing depends strongly on firm size. Although the premium is globally present, it exists only among microcap stocks, which …

Persistent link: https://www.econbiz.de/10013238996

Responsible Investing : ESG Ratings and the Cross-Section of International Stock Returns

Cakici, Nusret; Zaremba, Adam - 2022

Does socially responsible investing pay off? The investigation of 49 developed and emerging markets indicates that environmental, social, and governance ratings negatively predict future stock returns. A decile of global stocks with the highest ESG scores underperforms their low-rated...

Persistent link: https://www.econbiz.de/10013322426

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Machine Learning Goes Global : Cross-Sectional Return Predictability in International Stock Markets

Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - 2022

We examine return predictability with machine learning in 46 international stock markets. We calculate 148 stock characteristics and use them to feed a repertoire of different models. The algorithms extract predictability mainly from simple, yet popular, factor types—such as momentum,...

Persistent link: https://www.econbiz.de/10013405067