ABSTRACT

This study investigates the relation between firm-specific attributes and future equity returns in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short-term momentum (rather than reversal) and medium-term return momentum. We also find evidence that market beta, book-to-market ratio and downside risk metrics predict equity returns, however, these relations get weaker once value-weighting is used. In univariate regressions, smaller firms with higher idiosyncratic volatility, lottery-like characteristics and stock-specific downside risk are associated with higher future returns, however, these relations disappear in a multivariate setting. We conclude that the most robust cross-sectional effects are short- and medium-term return momentum.

摘要

本研究调查了 23 个新兴市场的公司特定属性与未来股票回报之间的关系。等权重投资组合回报显示出短期动能（而非逆转）和中期回报动能的有力证据。我们还发现有证据表明市场贝塔系数、账面市值比和下行风险指标可以预测股票回报，但是，一旦使用价值加权，这些关系就会变弱。在单变量回归中，具有较高特殊波动性、类似彩票的特征和特定于股票的下行风险的较小公司与更高的未来回报相关，然而，这些关系在多变量环境中消失。我们得出的结论是，最强劲的横截面效应是短期和中期的回报势头。