Matthias Hanauer and Jochim Lauterbach won the ACATIS Value Prize 2020 (1st place) with their paper "The cross-section of emerging market stock returns". The paper is published in the Emerging Markets Review.
About the authors
Matthias is postdoc at the Chair of Financial Management and Capital Markets and also works for Robeco, an investment management firm.
Jochim works as in the Risk Modelling and Methodologies department at UniCredit and is an alumni of the Chair of Financial Management and Capital Markets.
Paper abstract
Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative factor definitions. In contrast, the anomalous returns associated with cash flow-to-price, gross profitability, composite equity issuance, and momentum are pervasive as they show up in equal- and value-weighted portfolio sorts as well as in cross-sectional regressions. In contrast to financial theory and in line with previous findings, we do not find a positive cross-sectional relationship between risk and return. Finally, return forecasts derived from the alternative factor definitions are superior in their out-of-sample predictive ability to the ones derived from the five-factor model.
About the ACATIS Value Prize
Every year ACATIS honours academic research on the subject of value investing with the ACATIS Value Prize. For more information about the "ACATIS Value Prize", please click here.
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