Webinar: “What matters in a characteristic?”
LTI@Unito and Fondazione Collegio Carlo Alberto are organizing a webinar on "What matters in a characteristic?". The event will take place on April 20th 2021 from 12:00 to 1:25 p.m.
We decompose firm characteristics into country, industry, and adjusted components and investigate their respective role in explaining expected returns and comovements in individual international stock returns. Models with adjusted components describe expected returns and comovements of individual stock returns better than models with unadjusted characteristics. While exposures to systematic risk factors are primarily explained by country components, alphas are predominantly driven by adjusted components. In contrast to the U.S. stock market, alphas in emerging and other developed markets are larger and significant. These rich empirical patterns inform models of stocks’ expected returns and comovements.
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