Browsing Artículos y borradores de administración – Working papers by Subject "Five-factor model"
Now showing items 1-3 of 3
-
Firm profitability and expected stock returns : evidence from Latin America
(Elsevier Inc., 2020-01)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 ... -
Industry momentum in Latin America
(Elsevier Inc., 2023-03)We examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the ... -
Profitability of momentum strategies in Latin America
(Elsevier BV, 2020-07)This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and ...