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    Identifying the relative importance of stock characteristics in the UK market

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    Publication date
    2016-03
    Author
    French, D.
    Wu, Yuliang
    Li, Y.
    Keyword
    Stock characteristics; Factor models
    Rights
    © 2016 Elsevier. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
    Peer-Reviewed
    Yes
    
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    Abstract
    There is no consensus in the literature as to which stock characteristic best explains returns. In this study, we employ a novel econometric approach better suited than the traditional characteristic sorting method to answer this question for the UK market. We evaluate the relative explanatory power of market, size, momentum, volatility, liquidity and book-to-market factors in a semiparametric characteristic-based factor model which does not require constructing characteristic portfolios. We find that momentum is the most important factor and liquidity is the least important based on their relative contribution to the fit of the model and the proportion of sample months for which factor returns are significant. Our evidence supports the view that irrational investor behaviour may drive stock returns.
    URI
    http://hdl.handle.net/10454/9828
    Version
    Accepted manuscript
    Citation
    French D, Wu Y and Li Y (2016) Identifying the relative importance of stock characteristics. Journal of Multinational Financial Management. 34: 80-91.
    Link to publisher’s version
    http://dx.doi.org/10.1016/j.mulfin.2016.01.002
    Type
    Article
    Collections
    Management and Law Publications

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