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Erschienen in:
2006 | OriginalPaper | Buchkapitel
Regression Approach
Erschienen in: Stock Market Anomalies
Verlag: DUV
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The principal aim of the present chapter is to explore the predictability of equity returns in Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela. We study the joint roles of market returns (
R
m
−
R
f
) or
β
and firm size, price-to-book value, price-to-earnings, and turnover. Since the robustness of the results is important, the two most discussed econometric methodologies of the cross-sectional behavior of stock returns are employed: (1) the time series regression approach developed by Black et al. (1972) and (2) the cross-sectional approach of Fama and MacBeth (1973).