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1、WhatFactorsDriveGlobalStockReturns?KeweiHouOhioStateUniversityG.AndrewKarolyiCornellUniversityBong-ChanKhoSeoulNationalUniversityUsingmonthlyreturnsforover27,000stocksfrom49countriesoverathree-decadepe-riod,weshowthatamultifactormodelthatincludesfactor-mimickingportfo
2、liosbasedonmomentumandcashflow-to-pricecapturessignificanttime-seriesvariationinglobalstockreturns,andhaslowerpricingerrorsandfewermodelrejectionsthantheglobalCAPMorapopularmodelthatusessizeandbook-to-marketfactors.Wefindreliableevidencethattheglobalcashflow-to-pricefacto
3、risrelatedtoacovarianceriskmodel.Incontrast,werejectthecovarianceriskmodelinfavorofacharacteristicmodelforsizeandbook-to-marketfactors.(JELF30,G14,G15)Theidentificationofsourcesofreturncomovementand,hence,ofpossiblesourcesofportfolioriskisaprimarypursuitofresearchersin
4、thefieldofassetpricingandoneofcentralimportancetoinvestmentpractitioners,especiallythoseinvolvedinglobalfinancialmarkets.Theseminalinternationalasset-pricingmodelsofSolnik(1974),Grauer,Litzenberger,andStehle(1976),Sercu(1980),Stulz(1981),andErrunzaandLosq(1985)emphasize
5、theimportanceofmarket-wide,consumption-based,orcurrencyfactorrisks.Nevertheless,thereisagrowingamountofevidencethatstockreturnsarerelatedtofac-torsthatarebasedonfirm-levelcharacteristics,suchassize,book-to-marketWethanktheDiceCenterforResearchonFinancialEconomics,theBS
6、IGAMMAFoundation,INQUIRE-UK,andtheInstituteofManagementResearchatSeoulNationalUniversityforfundingsupport.Helpfulcom-mentswerereceivedfromTobyMoskowitz(editor),twoanonymousreferees,MichaelAdler,MichaelBrandt,FrancescaCarrieri,MagnusDahlquist,GeneFama,KenFrench,GeorgeG
7、ao,GabrielHawawini,SteveHeston,DonKeim,MarkLang,Kuan-HuiLee,RogerLoh,DavidNg,MikeRoberts,DavidRobinson,AnaPaulaSerra,RobStambaugh,ReneStulz,andAlvaroTaboada,aswellasfromseminarparticipantsatBarclaysGlobalIn-´vestors,ISCTE(Portugal),UniversidadedoPorto,OhioState,Wharto
8、n,Baruch,York,NorthCarolina,Duke,Vanderbilt,Purdue,Princeton,NotreDame,Kansas,theCRSPForum2006,theDimensionalFundAdvisors200
