1 option
q⁵ / Kewei Hou, Haitao Mo, Chen Xue, Lu Zhang.
- Format:
- Book
- Author/Creator:
- Hou, Kewei.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w24709.
- NBER working paper series no. w24709
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and constructs an expected growth factor that yields an average premium of 0.82% per month (t = 9.81). The q5-model, which augments the Hou-Xue-Zhang (2015) q-factor model with the new factor, shows strong explanatory power in the cross section, and outperforms other recently proposed factor models such as the Fama-French (2018) six-factor model.
- Notes:
- Print version record
- June 2018.
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