Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/275130 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 16 [Issue:] 1 [Article No.:] 34 [Year:] 2023 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
The paper focuses on the relationship between firms' characteristics and cross-section returns. The author reviews and critically assesses the most recent contributions in the literature. After comparing the abnormal returns (Alpha) and t statistics of the original works with those of replication works, the author concludes that 94 characteristics are robust. The limitation of the paper is that measurement errors in the COMPUSTAT could affect the predictability of cross-section returns. The practical implication of the paper is that the author validates the practice of fundamental analysis. Investors could benefit from those discovered characteristics. The author validates the policy consequence and connects the theoretical frameworks with empirical results. The author evaluates the empirical methodology and proposes several methods to improve future research.
Subjects: 
characteristics
abnormal return
accounting anomalies
fundamental analysis
return predictors
risk factors
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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