Search Results - subject:"The q-Factor Model"

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Comprehensive asset pricing tests in the Korean stock market

Bae, Jaewan; Kang, Jangkoo; Park, Jun - In: Asia-Pacific journal of financial studies 53 (2024) 4, pp. 436-466

Persistent link: https://www.econbiz.de/10015097641

The use of asset growth in empirical asset pricing models

Cooper, Michael J.; Gulen, Huseyin; Ion, Mihai - In: Journal of financial economics 151 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014452109

q-factors and investment CAPM

Zhang, Lu - 2019

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 …

Persistent link: https://www.econbiz.de/10012168924

Which factors

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018

Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model …

Persistent link: https://www.econbiz.de/10011969114

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018

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...

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

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018

Persistent link: https://www.econbiz.de/10011888412