ListarArtículos y borradores de administración – Working papers por tema "Five-factor model"

Mostrando ítems 1-3 de 3

    • Firm profitability and expected stock returns : evidence from Latin America 

      Berggrun, Luis; Cardona, Emilio; Lizarzaburu Bolaños, Edmundo R. (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 

      Berggrun, Luis; Cardona, Emilio; Lizarzaburu Bolaños, Edmundo R. (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 

      Berggrun, Luis; Cardona, Emilio; Lizarzaburu Bolaños, Edmundo R. (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 ...