The nexus of anomalies-stock returns-asset pricing models: The international evidence
We study the international stock returns across Europe, Asia Pacific, North America, US, Japan, Global, and Global excluding US. We find there are value premiums in average stock returns across the regions. There is momentum return in all the regions except for Japan. With the exception of Japan, pr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2019-03-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845018300152 |
| _version_ | 1818024957074997248 |
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| author | Rahul Roy Santhakumar Shijin |
| author_facet | Rahul Roy Santhakumar Shijin |
| author_sort | Rahul Roy |
| collection | DOAJ |
| description | We study the international stock returns across Europe, Asia Pacific, North America, US, Japan, Global, and Global excluding US. We find there are value premiums in average stock returns across the regions. There is momentum return in all the regions except for Japan. With the exception of Japan, profitability and investment premiums in average stock returns exist across the regions. Further, the value, momentum, and profitability premiums vary with the firm size and premiums decrease from smaller to bigger stocks excluding Japan. We examine whether empirical asset pricing models capture the value, momentum, profitability, and investment pattern in international average returns, and the integration of the asset prices across the regions. We reject the global integrated pricing approach. The performance of local Carhart four-factor model is relatively better than the variant models in approximating the returns on Japanese size-B/M and size-momentum portfolios. Similarly, the FF five-factor model performs better than the variant models in approximating the returns on Asia Pacific, North American, and Japanese size-profitability portfolios. In addition, FF five-factor model performs relatively better in approximating the returns on European and Japanese size-investment portfolios. Keywords: Asset pricing model, GRS test, Integrated pricing, International stock returns, Returns predictability, JEL classification: C53, F36, G12, O57 |
| first_indexed | 2024-12-10T04:08:28Z |
| format | Article |
| id | doaj.art-e3a7812c99c941c1b28e122e83055e2e |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-12-10T04:08:28Z |
| publishDate | 2019-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-e3a7812c99c941c1b28e122e83055e2e2022-12-22T02:02:48ZengElsevierBorsa Istanbul Review2214-84502019-03-01191114The nexus of anomalies-stock returns-asset pricing models: The international evidenceRahul Roy0Santhakumar Shijin1Corresponding author.; Department of Commerce, SOM, Pondicherry University, Pondicherry, 605014, IndiaDepartment of Commerce, SOM, Pondicherry University, Pondicherry, 605014, IndiaWe study the international stock returns across Europe, Asia Pacific, North America, US, Japan, Global, and Global excluding US. We find there are value premiums in average stock returns across the regions. There is momentum return in all the regions except for Japan. With the exception of Japan, profitability and investment premiums in average stock returns exist across the regions. Further, the value, momentum, and profitability premiums vary with the firm size and premiums decrease from smaller to bigger stocks excluding Japan. We examine whether empirical asset pricing models capture the value, momentum, profitability, and investment pattern in international average returns, and the integration of the asset prices across the regions. We reject the global integrated pricing approach. The performance of local Carhart four-factor model is relatively better than the variant models in approximating the returns on Japanese size-B/M and size-momentum portfolios. Similarly, the FF five-factor model performs better than the variant models in approximating the returns on Asia Pacific, North American, and Japanese size-profitability portfolios. In addition, FF five-factor model performs relatively better in approximating the returns on European and Japanese size-investment portfolios. Keywords: Asset pricing model, GRS test, Integrated pricing, International stock returns, Returns predictability, JEL classification: C53, F36, G12, O57http://www.sciencedirect.com/science/article/pii/S2214845018300152 |
| spellingShingle | Rahul Roy Santhakumar Shijin The nexus of anomalies-stock returns-asset pricing models: The international evidence Borsa Istanbul Review |
| title | The nexus of anomalies-stock returns-asset pricing models: The international evidence |
| title_full | The nexus of anomalies-stock returns-asset pricing models: The international evidence |
| title_fullStr | The nexus of anomalies-stock returns-asset pricing models: The international evidence |
| title_full_unstemmed | The nexus of anomalies-stock returns-asset pricing models: The international evidence |
| title_short | The nexus of anomalies-stock returns-asset pricing models: The international evidence |
| title_sort | nexus of anomalies stock returns asset pricing models the international evidence |
| url | http://www.sciencedirect.com/science/article/pii/S2214845018300152 |
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