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dc.contributor.authorFrench, D.*
dc.contributor.authorWu, Yuliang*
dc.contributor.authorLi, Y.*
dc.date.accessioned2016-10-10T14:55:37Z
dc.date.available2016-10-10T14:55:37Z
dc.date.issued2016-03
dc.identifier.citationFrench D, Wu Y and Li Y (2016) Identifying the relative importance of stock characteristics. Journal of Multinational Financial Management. 34: 80-91.en_US
dc.identifier.urihttp://hdl.handle.net/10454/9828
dc.descriptionYesen_US
dc.description.abstractThere 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.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttp://dx.doi.org/10.1016/j.mulfin.2016.01.002en_US
dc.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/)en
dc.subjectStock characteristics; Factor modelsen_US
dc.titleIdentifying the relative importance of stock characteristics in the UK marketen_US
dc.status.refereedYesen_US
dc.date.Accepted2016-01-14
dc.date.application2016-01-21
dc.typeArticleen_US
dc.type.versionAccepted manuscripten_US
refterms.dateFOA2019-01-23T16:34:52Z


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