Title
Firm profitability and expected stock returns: Evidence from Latin America
Date Issued
01 January 2020
Access level
metadata only access
Resource Type
journal article
Author(s)
Publisher(s)
Elsevier Ltd
Abstract
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.
Volume
51
Language
English
OCDE Knowledge area
Economía
Negocios, Administración
Subjects
Scopus EID
2-s2.0-85074286247
Source
Research in International Business and Finance
ISSN of the container
02755319
Sources of information:
Directorio de Producción Científica
Scopus