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Hugues Langlois (HEC Paris) (webinar)

20 April 2021 @ 12:00 - 13:15



20 April 2021
12:00 - 13:15
Event Categories:
Academic Events

“What matters in a characteristic?”

Abstract: 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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Meeting ID: 885 2162 6111 Passcode: 044353