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