Topic: Size, Value, and Momentum in International Stock Returns: A New Partial- Segmentation Approach
Speaker: Andrew Karolyi, Professor of Finance, S.C. Johnson Graduate School of Management, Cornell University
Date: July 7th, 2014 (Mon.)
Time: 1:00pm-2:30pm
Location: Building 4, Room 101
Language: English
Abstract:
We propose a new multi-factor model for global stock returns that includes size, value, and momentum factor s but that builds them separately as “global” factors comprised of all stocks around the world and as “local” factors comprised of locally-accessible stocks for a given country or region. This “partialsegmentation” approach is evaluated using monthly return s for over 37,000 stocks from 46 countries over 20 years and for a wide variety of test assets. The model not only captures strong common variation in stock returns, but also achieves low pricing errors and rejection rates relative to purelyglobal and purely local models.
About the speaker:
Professor Andrew Karolyi is an internationally-known scholar in the area of investment management, with a specialization in the study of international financial markets. He has published extensively in journals in finance and economics, including the Journal of Finance, Journal of Financial Economics and Review of Financial Studies, and has published several books and monographs.
Karolyi received his BA (Honors) in economics from McGill University in 1983 and worked at the Bank of Canada for several years in its research department. He subsequently earned his MBA and PhD degrees in finance at the Graduate School of Business of the University of Chicago. He joined Johnson in 2009, after teaching for 19 years at the Fisher College of Business of The Ohio State University. Karolyi currently serves as editor of the Review of Financial Studies, and also an associate editor for a variety of journals, including the Journal of Financial Economics, Journal of Empirical Finance, Journal of Banking and Finance, Review of Finance and the Pacific Basin Finance Journal.
