| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24709 |
| 来源ID | Working Paper 24709 |
| q\u2075 | |
| Kewei Hou; Haitao Mo; Chen Xue; Lu Zhang | |
| 发表日期 | 2018-06-18 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance |
| URL | https://www.nber.org/papers/w24709 |
| 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/582382 |
| 推荐引用方式 GB/T 7714 | Kewei Hou,Haitao Mo,Chen Xue,et al. q\u2075. 2018. |
| 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 | ||
| w24709.pdf（365KB） | 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。
