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首页> 外文期刊>International Review of Financial Analysis >The cross-section of industry equity returns and global tactical asset allocation across regions and industries
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The cross-section of industry equity returns and global tactical asset allocation across regions and industries

机译：跨地区和行业的行业股权回报和全球战术资产配置的横截面

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摘要

This study investigates which index characteristics predict returns in the cross-section of local industry indexes in six regions. The results show that geographical origin and market capitalization of indexes critically determine the predictive ability of characteristics. We find that industry indexes of any market capitalization with high earnings-to-price ratio yield higher expected returns in the US, Europe, and Asia-Pacific. Recent winner (loser) portfolios in Europe have a tendency to outperform (underperform) recent loser (winner) portfolios in the near future for all groups of market capitalization. Small portfolios with high idiosyncratic volatility in Asia-Pacific earn an idiosyncratic volatility premium. Dividend yield is positively related to future returns of small European portfolios. These results are robust to the inclusion of transaction costs and control variables and have im-plications for portfolio managers following a global tactical asset allocation policy.
机译：本研究调查了哪些指数特征在六个地区的局部行业指标的横截面中预测回报。结果表明，索引的地理产地和市场资本化批判性地确定了特征的预测能力。我们发现，在美国，欧洲和亚太地区的高度收益价格率高的任何市场资本化的行业指标。欧洲最近的赢家（LOSER）投资组合在不久的将来倾向于倾向于（欠低的）最近的失败者（赢家）投资组合，所有市场资本化群体都在不久的将来。亚太地区具有高特质波动性的小投资组合赢得了特殊的挥发性溢价。股息收益率与小欧洲投资组合的未来回报呈正相关。这些结果对于包含交易成本和控制变量具有稳健性，并在全球战术资产配置政策之后具有投资组合管理人员的IM-Plations。

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