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 an average premium of 0.82% per month (t =9.81). The q5 model, which augments …