Lost in the multiverse: Methodological uncertainty in studying global equity returns
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Cakici, N., Fieberg, C., Neszveda, G., Piljak, V., & Zaremba, A. (2026). Lost in the multiverse: Methodological uncertainty in studying global equity returns. Journal of banking and finance, 190. https://doi.org/10.1016/j.jbankfin.2026.107775
© 2026 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Lataukset13
Pysyvä osoite
Kuvaus
We examine methodological uncertainty in studies of the cross-section of country equity returns, analyzing 15 predictors across up to 13,824 research implementations. Varying nine key design choices, we find that many classic signals—such as momentum, beta, or idiosyncratic risk—are surprisingly fragile. Setups emphasizing small, segmented countries enhance performance, while those focused on liquid, investable markets tend to weaken it. Applying bootstrap and out-of-sample tests, only a few factors, such as market size, dividend yield, short-term momentum, and sovereign risk, consistently emerge as robust. Our evidence calls for cautious interpretation of country-level return patterns and for robustness checks across alternative research designs.
Emojulkaisu
ISBN
ISSN
1872-6372
0378-4266
0378-4266
Aihealue
Kausijulkaisu
Journal of banking and finance|190
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)