q-factors and investment CAPM

Lu Zhang (The Ohio State University and NBER)

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

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Year of publication:	[2019]
Authors:	Zhang, Lu
Publisher:	[Columbus, Ohio] : The Ohio State University, Fisher College of Business
Subject:	The q-factor model \| anomalies \| EMH \| behavioral finance \| the investment CAPM,the consumption CAPM \| the CAPM \| equilibrium theory \| CAPM \| Kapitalmarkttheorie \| Financial economics

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Extent:	1 Online-Ressource (circa 37 Seiten)
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2019, 30 Fisher College of Business Working Paper ; No. 2019-03-030 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2019-03, 030
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.3497867 [DOI]
Classification:	D21 - Firm Behavior ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; E22 - Capital; Investment (including Inventories); Capacity ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G31 - Capital Budgeting; Investment Policy ; G32 - Financing Policy; Capital and Ownership Structure ; G35 - Payout Policy
Source:	ECONIS - Online Catalogue of the ZBW

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