Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 31, 2022 erstellt
Beschreibung:
This paper compares the explanations and predictabilities of 35 firm-level characteristics between developed and emerging stock markets using instrumented principal components analysis (IPCA). In contrast to the weak performance of global model in each region, the local model performs better with lower mispricing error at the individual and portfolio level and exhibits significant differences across regions and countries. With eleven characteristics significantly contributing to the global model’s performance, each region has unique important characteristics, such as the change of PPE and inventory in developed markets and the sale to book enterprise value for emerging stock markets. Several characteristics also have local properties, and the incremental predictability of local characteristics are about 18% in developed region and 7% in emerging markets