Firm profitability and expected stock returns : evidence from Latin America

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 r...

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Autores:
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
Tipo de recurso:
Article of investigation
Fecha de publicación:
2020
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5080
Acceso en línea:
http://hdl.handle.net/10726/5080
https://doi.org/10.1016/j.ribaf.2019.101119
Palabra clave:
Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
Rights
License
Acceso Restringido
id CESA2_9720ba94ccd6b30d344f847ef84e5e6e
oai_identifier_str oai:repository.cesa.edu.co:10726/5080
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Berggrun, Luisaa243905-4ac7-476f-836d-5dd836dc0bcf600Cardona, Emilioecf99039-c466-45ac-ae92-0595379ee084600Lizarzaburu Bolaños, Edmundo R.9254c9ab-b3c5-4d65-a203-b13fbb744196600Berggrun, Luis [0000-0002-8489-0818]Lizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]Berggrun, Luis [37057140100]Cardona, Emilio [57069944700]Lizarzaburu Bolaños, Edmundo R. [55617076500]2023-06-21T22:23:04Z2023-06-21T22:23:04Z2020-010275-5319http://hdl.handle.net/10726/5080instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1878-3384https://doi.org/10.1016/j.ribaf.2019.101119engElsevier Inc.Firm profitability and expected stock returns : evidence from Latin Americaarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecDespite 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.https://orcid.org/0000-0002-8489-0818https://orcid.org/0000-0002-8862-5624https://www.scopus.com/authid/detail.uri?authorId=37057140100https://www.scopus.com/authid/detail.uri?authorId=57069944700https://www.scopus.com/authid/detail.uri?authorId=5561707650051Research in International Business and FinanceOperating profitabilityCross-sectional returnsFive-factor modelEmerging markets10726/5080oai:repository.cesa.edu.co:10726/50802023-10-02 19:35:20.827metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Firm profitability and expected stock returns : evidence from Latin America
title Firm profitability and expected stock returns : evidence from Latin America
spellingShingle Firm profitability and expected stock returns : evidence from Latin America
Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
title_short Firm profitability and expected stock returns : evidence from Latin America
title_full Firm profitability and expected stock returns : evidence from Latin America
title_fullStr Firm profitability and expected stock returns : evidence from Latin America
title_full_unstemmed Firm profitability and expected stock returns : evidence from Latin America
title_sort Firm profitability and expected stock returns : evidence from Latin America
dc.creator.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
dc.contributor.author.spa.fl_str_mv Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo R.
dc.contributor.orcid.none.fl_str_mv Berggrun, Luis [0000-0002-8489-0818]
Lizarzaburu Bolaños, Edmundo R. [0000-0002-8862-5624]
dc.contributor.scopus.none.fl_str_mv Berggrun, Luis [37057140100]
Cardona, Emilio [57069944700]
Lizarzaburu Bolaños, Edmundo R. [55617076500]
dc.subject.proposal.none.fl_str_mv Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
topic Operating profitability
Cross-sectional returns
Five-factor model
Emerging markets
description 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.
publishDate 2020
dc.date.issued.none.fl_str_mv 2020-01
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:04Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:04Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 0275-5319
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5080
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1878-3384
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.ribaf.2019.101119
identifier_str_mv 0275-5319
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1878-3384
url http://hdl.handle.net/10726/5080
https://doi.org/10.1016/j.ribaf.2019.101119
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 51
dc.relation.ispartofjournal.none.fl_str_mv Research in International Business and Finance
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.none.fl_str_mv Acceso Restringido
dc.rights.coar.none.fl_str_mv http://vocabularies.coar-repositories.org/access_rights/c_16ec/
rights_invalid_str_mv Acceso Restringido
http://vocabularies.coar-repositories.org/access_rights/c_16ec/
http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Elsevier Inc.
publisher.none.fl_str_mv Elsevier Inc.
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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