Abstract
In this paper, using the stepwise model selection method proposed by Harvey and Liu (2021), we study whether anomalies can explain the cross-sectional individual stock returns in 38 countries for the period between 1992 and 2018. Among the 95 anomalies examined, we document the following results: (1) the market factor is the single most dominant factor in explaining the cross-sectional equity returns both on individual and portfolio levels; (2) local, regional and global market factors are equally useful; (3) the dominant role of the market factor, regardless whether it is the local, regional, or global version, is concentrated in Federal Open Market Committee (FOMC) months. Collectively, the results support a strong role of the market factor in the integrated international equity markets.
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