Semantic Scholar Open Access 2020 249 sitasi

An Augmented q-Factor Model with Expected Growth*

Kewei Hou Haitao Mo Chen Xue Lu Zhang Lu Zhang

Lihat Sumber DOI

Abstrak

In the investment theory, firms with high expected investment growth earn higher expected returns than firms with low expected investment growth, holding investment and expected profitability constant. Building on cross-sectional growth forecasts with Tobin’s q, operating cash flows, and change in return on equity as predictors, an expected growth factor earns an average premium of 0.84% per month (t = 10.27) in the 1967–2018 sample. The q5 model, which augments the Hou–Xue–Zhang (2015, Rev. Finan. Stud., 28, 650–705) q-factor model with the expected growth factor, shows strong explanatory power in the cross-section and outperforms the Fama–French (2018, J. Finan. Econom., 128, 234–252) six-factor model.

Topik & Kata Kunci

Economics

Penulis (5)

Kewei Hou

Haitao Mo

Chen Xue

Lu Zhang

Format Sitasi

APA MLA BibTeX

Hou, K., Mo, H., Xue, C., Zhang, L., Zhang, L. (2020). An Augmented q-Factor Model with Expected Growth*. https://doi.org/10.1093/rof/rfaa004

Akses Cepat

Lihat di Sumber doi.org/10.1093/rof/rfaa004

Informasi Jurnal

Tahun Terbit: 2020
Bahasa: en
Total Sitasi: 249×
Sumber Database: Semantic Scholar
DOI: 10.1093/rof/rfaa004
Akses: Open Access ✓