Details

Autor(en) / Beteiligte

• Chan, Louis K C
• Karceski, Jason
• Lakonishok, Josef

Titel

The Risk and Return from Factors

Ist Teil von

• NBER Working Paper Series, 1997-07, p.6098

Ort / Verlag

Cambridge: National Bureau of Economic Research, Inc

Erscheinungsjahr

1997

Quelle

National Bureau of Economic Research Publications

Beschreibungen/Notizen

• Working Paper No. 6098 The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a common data set to evaluate the performance of various proposed factors in capturing return comovements. Factors associated with the market, size, past return, book-to-market and dividend yield help explain return comovement on an out-of-sample basis (although they are not necessarily associated with large premiums in average returns). Except for the default premium and the term premium, macroeconomic factors perform poorly. We document regularities in the behavior of the more important factors, and confirm their influence in the Japanese and U.K. markets as well.