The profitability effect: Insights from international equity markets
利用33个国际市场1990-2017年数据，发现盈利能力效应在美国以外多个国家也存在，但效应大小受盈利指标和投资组合分类影响，对构建区域/全球因子模型有参考价值。
Abstract Using data from 33 international markets over the period 1990–2017, we reveal that the profitability effect exists in many countries other than the USA, but the size of this effect is sensitive to the measure of profitability and portfolio sorts. The profitability effect is significant in pooled developed and global markets, though less so in emerging markets. The evidence lends support to incorporating a profitability factor in regional/global factor models. Cross‐region and cross‐country analyses show mixed evidence for a positive relationship between profitability effects and market developments, though the overall findings lean toward supporting the prediction of the investment model.