| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26538 |
| 来源ID | Working Paper 26538 |
| Q-factors and Investment CAPM | |
| Lu Zhang | |
| 发表日期 | 2019-12-09 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The q-factor model shows strong explanatory power and largely summarizes the cross section of average stock returns. In particular, the q-factor model fully subsumes the Fama-French (2018) 6-factor model in head-to-head factor spanning tests. The q-factor model is an empirical implementation of the investment CAPM. The basic philosophy is to price risky assets from the perspective of their suppliers (firms), as opposed to their buyers (investors). As a disruptive innovation, the investment CAPM has broad-ranging implications for academic finance and asset management practice. |
| 主题 | Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w26538 |
| 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/584212 |
| 推荐引用方式 GB/T 7714 | Lu Zhang. Q-factors and Investment CAPM. 2019. |
| 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 | ||
| w26538.pdf（565KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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