Do industries matter in explaining stock returns and asset-pricing anomalies?

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104806

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104806

Title:	Do industries matter in explaining stock returns and asset-pricing anomalies?
Authors:	何柏欣;Chou, Pin-Huang;Ho, Po-Hsin;Ko, Kuan-Cheng
Contributors:	管理學院財務金融學系
Keywords:	Asset pricing;Behavior;Financial ratios;Financial theory;Industry;Markets;Premiums;Rates of return;Risk premiums;Seasonal fluctuations;Small and medium sized enterprises;Stock prices;Stock returns;Studies
Date:	2012-02-01
Issue Date:	2026-04-23 11:58:38 (UTC+8)
Publisher:	Elsevier;Amsterdam: Elsevier
Abstract:	摘要： Industry returns cannot be explained fully by well-known asset pricing models. This study reveals that common factors extracted from industry returns carry significant risk premiums that go beyond the explanatory power of size, book-to-market (BM) ratios, and momentum. In particular, this study shows that (1) the small-firm effect is significant only for firms whose market capitalization is below their industry average; (2) the BM effect is an intra-industry phenomenon; (3) a one-year momentum effect is significant only for firms whose BM ratio is smaller than the industry average and limited to non-January months; and (4) there is seasonality in all effects that cannot be explained by risk-based asset-pricing models. Neither rational nor behavioral theories alone can explain industry returns, and it is perhaps too hasty to attribute asset pricing anomalies to a single driving force. [PUBLICATION ABSTRACT] 出版者： Amsterdam: Elsevier 出版日期： 2012-02-01 出處： Journal of banking & finance, 2012-02, Vol.36 (2), p.355-370 資源來源： Elsevier ScienceDirect Journals Complete 版權： Copyright Elsevier Sequoia S.A. Feb 2012 識別號： ISSN: 0378-4266 識別號： EISSN: 1872-6372 識別號： DOI: 10.1016/j.jbankfin.2011.07.016 識別號： CODEN: JBFIDO
Appears in Collections:	[Department of Finance] journal & Dissertation

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