Meta-Analyses of Stock Return Determinants

Understanding factors associated with cross-sectional variation in returns on financial assets is fundamental both for research in asset pricing and for corporate finance practice. Empirical findings on the predictive power of those factors may reflect i) their ability to proxy for a firm’s exposure to underlying risk, ii) their relation to imperfections in financial market microstructure, iii) their association with systematic mispricing, or iv) incorrect statistical inferences resulting from non-representative samples or inappropriate methodology. Using meta-analysis techniques, we will synthesize empirical findings on the predictive power of stock return determinants to assess their validity, to discriminate between the competing explanations, and to estimate the magnitude of the corresponding stock returns premiums. We also aim at contributing to the development of the meta-regression methodology by proposing how it can be adapted to adjust for the publication selection bias in areas related to asset pricing.

Project team of FSV UK (1)

prof. PhDr. Tomáš Havránek, Ph.D.

Principal investigator

+420 222 112 309  |  +420 224 412 318

tomas.havranek@fsv.cuni.cz