| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23563 |
| 来源ID | Working Paper 23563 |
| The Economics of Value Investing | |
| Kewei Hou; Haitao Mo; Chen Xue; Lu Zhang | |
| 发表日期 | 2017-07-10 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The investment CAPM provides an economic foundation for Graham and Dodd’s (1934) Security Analysis. Expected returns vary cross-sectionally, depending on firms’ investment, profitability, and expected investment growth. Empirically, many anomaly variables predict future changes in investment-to-assets, in the same direction in which these variables predict future returns. However, the expected investment growth effect in sorts is weak. The investment CAPM has different theoretical properties from Miller and Modigliani’s (1961) valuation model and Penman, Reggiani, Richardson, and Tuna’s (2017) characteristic model. In all, value investing is consistent with efficient markets. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w23563 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581237 |
| 推荐引用方式 GB/T 7714 | Kewei Hou,Haitao Mo,Chen Xue,et al. The Economics of Value Investing. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23563.pdf（446KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
