| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23910 |
| 来源ID | Working Paper 23910 |
| Does the Investment Model Explain Value and Momentum Simultaneously? | |
| Andrei S. Gonçalves; Chen Xue; Lu Zhang | |
| 发表日期 | 2017-10-09 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Two innovations in the structural investment model go a long way in explaining value and momentum jointly. Firm-level investment returns are constructed from firm-level accounting variables, and are then aggregated to the portfolio level to match with portfolio-level stock returns. In addition, current assets form a separate production input besides physical capital. The model fits well the value, momentum, investment, and profitability premiums jointly, and partially explains the positive stock-investment return correlations, the procyclicality and short-term dynamics of the momentum and profitability premiums, and the countercyclicality and long-term dynamics of the value and investment premiums. However, the model fails to explain momentum crashes. |
| 主题 | Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w23910 |
| 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/581583 |
| 推荐引用方式 GB/T 7714 | Andrei S. Gonçalves,Chen Xue,Lu Zhang. Does the Investment Model Explain Value and Momentum Simultaneously?. 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 | ||
| w23910.pdf（482KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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