Do industries contain predictive information for the Fama–French factors?

Tsuji, Chikashi

doi:10.1080/14697681003762271

Cited by 14 publications

(6 citation statements)

References 68 publications

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“…That is, besides the market portfolio return, they add two variables (SMB and HML) to respond to stock size and value, respectively, where SMB stands for 'Small (market capitalization) Minus Big' and HML for 'High (book-to-market ratio) Minus Low'. Numerous recent empirical studies supported the Fama-French three factor model; for instance, Campello et al (2008), Hyde and Sherif (2010), Tsuji (2012) and Von Arx and Ziegler (2014). Mathematically, the Fama-French three factor model is expressed as follows:…”

Section: Te and Risk-adjusted Returnmentioning

confidence: 98%

Does past performance affect mutual fund tracking error in Taiwan?

2015

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This study examines the relationship between fund past performance and manager choice of portfolio risk in Taiwan. Employing the exponential generalized autoregressive conditional heteroscedasticity and linear regression models, the results demonstrate that historically poor average performance does not increase mutual fund tracking error (TE) or portfolio risk. Additionally, yearly tournament behaviour, namely mid-year losers increasing their last-half year TEs, only appears in funds with higher management fees. This implies that managers of high management fee funds actively increase TE in response to poor historical performance, to enable them to beat the market during future months or the second half of the year.

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Section: Te and Risk-adjusted Returnmentioning

confidence: 98%

Does past performance affect mutual fund tracking error in Taiwan?

2015

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“…Hong, Torous, and Valkanov (2007) verify that industries can lead the stock market, because the returns of industry portfolios that are informative about macroeconomic fundamentals are shown to lead the aggregate market. Tsuji (2012) finds all U.S. industries strongly forecast one-month-ahead small-minus-big factor returns.…”

Section: Introductionmentioning

confidence: 92%

Dynamic relationships between industry returns and stock market returns

Chen¹,

Chang²

2013

The North American Journal of Economics and Finance

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“…For example, Dimensional Fund Advisors and Morningstar provide a menu of investment styles based on the size and value factors (see www.dfaus.com/and www.morningstar.com). Tsuji (2012) provides evidence that the US industry returns have predictive information for size and value portfolio returns. ‡Fidelity offers sector funds with exposure to different industries of the economy (see https://www.fidelity.com/mutual-funds/sectorfunds/overview).…”

Section: Panel Variance Ratio Testsmentioning

confidence: 98%

A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests

Kim

Shamsuddin

2015

Quantitative Finance

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This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, based on the wild bootstrap proposed in this paper, which exhibit desirable size and power properties in small samples. We have found evidence that stock returns have been highly predictable from 1964 to 1996, except for a period leading to the 1987 crash and its aftermath. After 1997, stock returns have been unpredictable overall. At a disaggregated level, we find evidence that large-cap portfolios have been priced more efficiently than small-or medium-cap portfolios; and that the stock returns from high-tech industries are far less predictable than those from non-high-tech industries.

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Do industries contain predictive information for the Fama–French factors?

Cited by 14 publications

References 68 publications

Does past performance affect mutual fund tracking error in Taiwan?

Does past performance affect mutual fund tracking error in Taiwan?

Dynamic relationships between industry returns and stock market returns

A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests

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