Predicting Stock Returns Using Industry-Relative Firm Characteristics
Abstract
Better proxies for the information about future returns contained in firm characteristics such as size, book-to-market equity, cash flow-to-price, percent change in employees, and various past return measures are obtained by breaking these explanatory variables into two industry-related components. The components represent (1) the difference between firms' own characteristics and the average characteristics of their industries (within-industry...
Paper Details
Title
Predicting Stock Returns Using Industry-Relative Firm Characteristics
Published Date
Jan 1, 2000
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