q5

Kewei Hou (The Ohio State University and CAFR), Haitao Mo (Louisiana State University), Chen Xue (University of Cincinnati), Lu Zhang (The Ohio State University and NBER)

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) 6-factor model

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Year of publication:	[2018]
Authors:	Hou, Kewei ; Mo, Haitao ; Xue, Chen ; Zhang, Lu
Publisher:	[Columbus, Ohio] : The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics
Subject:	The q5-Model \| The q-Factor Model \| The Expected Growth \| The Investment CAPM \| Factor Regressions \| Anomalies \| Tobins Q \| Tobin's Q \| Unternehmenswachstum \| Firm growth \| Return on Investment \| Return on investment \| Erwartungsbildung \| Expectation formation \| Prognoseverfahren \| Forecasting model \| Faktorenanalyse \| Factor analysis \| Theorie \| Theory \| Schätzung \| Estimation \| USA \| United States

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Extent:	1 Online-Ressource (circa 99 Seiten)
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2018, 10 Charles A. Dice Center Working Paper ; No. 2018-10 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2018-03-010
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3191167 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011969143