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Firm profitability and expected stock returns: Evidence from Latin America

Despite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability on stock returns is pervasive in univariate and bivariate sorts, panel r...

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Detalles Bibliográficos
Autores Principales: Berggrun, L., Cardona, E., Lizarzaburu, E.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
Acceso en línea:http://hdl.handle.net/1992/47110
id ir-1992-47110
recordtype dspace
spelling ir-1992-471102020-11-04T20:27:12Z Firm profitability and expected stock returns: Evidence from Latin America Berggrun, L. Cardona, E. Lizarzaburu, E. Operating profitability Cross-sectional returns Five-factor model Emerging markets Despite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability on stock returns is pervasive in univariate and bivariate sorts, panel regressions, across sub-regional markets, and among small and large stocks. A five-factor model that includes market, size, distress, profitability, and investment factors prices profitability portfolios better than other popular factor models. Five-factor alphas of profitability portfolios tend to be lower and less statistically significant, both individually and collectively, than alphas from other three widely-used pricing models. 2020-10-01T16:53:38Z 2020-10-01T16:53:38Z 2019 article publishedVersion http://hdl.handle.net/1992/47110 https://www.sciencedirect.com/science/article/abs/pii/S0275531919305513 eng openAccess application/pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca
institution Universidad de los Andes
collection DSpace
language Inglés (English)
topic Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
spellingShingle Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
Berggrun, L.
Cardona, E.
Lizarzaburu, E.
Firm profitability and expected stock returns: Evidence from Latin America
description Despite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability on stock returns is pervasive in univariate and bivariate sorts, panel regressions, across sub-regional markets, and among small and large stocks. A five-factor model that includes market, size, distress, profitability, and investment factors prices profitability portfolios better than other popular factor models. Five-factor alphas of profitability portfolios tend to be lower and less statistically significant, both individually and collectively, than alphas from other three widely-used pricing models.
format Artículo (Article)
author Berggrun, L.
Cardona, E.
Lizarzaburu, E.
author_facet Berggrun, L.
Cardona, E.
Lizarzaburu, E.
author_sort Berggrun, L.
title Firm profitability and expected stock returns: Evidence from Latin America
title_short Firm profitability and expected stock returns: Evidence from Latin America
title_full Firm profitability and expected stock returns: Evidence from Latin America
title_fullStr Firm profitability and expected stock returns: Evidence from Latin America
title_full_unstemmed Firm profitability and expected stock returns: Evidence from Latin America
title_sort firm profitability and expected stock returns: evidence from latin america
publishDate 2020
url http://hdl.handle.net/1992/47110
_version_ 1705934461520052224
score 12,131701

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