The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns (Digest Summary): J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12, (December 2017): 4389-4436

Antony Jackson

doi:10.2469/dig.v48.n6.3

The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns (Digest Summary): J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12, (December 2017): 4389-4436

Antony Jackson

School of Economics

Research output: Contribution to specialist publication › Book/Film/Article review

Abstract

The authors evaluate 94 uncorrelated characteristics of average U.S. monthly stock returns. Only 12 survive testing once the results are controlled for micro-capitalization stocks and data-snooping bias. Long-short equity strategies appear to benefit from the inclusion of all 94 variables.

Original language	English
Volume	48
No.	6
Specialist publication	CFA Digest
Publisher	CFA Institute
DOIs	https://doi.org/10.2469/dig.v48.n6.3
Publication status	Published - Jun 2018

Access to Document

10.2469/dig.v48.n6.3

https://www.cfainstitute.org/en/research/cfa-digest/2018/06/dig-v48-n6-3

Cite this

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title = "The Characteristics That Provide Independent Information about Average U.S. Monthly Stock Returns (Digest Summary): J. Green, J. Hand, and X. Zhang, Review of Financial Studies, Vol. 30, No. 12, (December 2017): 4389-4436",

abstract = "The authors evaluate 94 uncorrelated characteristics of average U.S. monthly stock returns. Only 12 survive testing once the results are controlled for micro-capitalization stocks and data-snooping bias. Long-short equity strategies appear to benefit from the inclusion of all 94 variables.",

author = "Antony Jackson",

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