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...

We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...

More than three decades ago, Jacobs and Levy introduced in the Financial Analysts Journal the idea of disentangling returns across numerous factors via cross-sectional analysis, and examined the benefits of using the time-series of returns to disentangled factors for return forecasting. The...

We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

I compare commonly employed factor models across 50 non-U.S. developed and emerging market countries by ranking them based on their maximum Sharpe ratios. Consistent with the U.S. evidence presented in Barillas, Kan, Robotti, and Shanken (2019), I find that the factor models of Fama and French...

We investigate how disposal non-financial wealth and its changes ndash; wealth shocks create exogenous demands and demands shocks for financial assets and demands a systematic pricing premium for risky assets. This premium lowers Lucas (1978)'s implied risk aversion. Responses of financial...

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...