article, we perform a sensitivity analysis of the pairs trading profitability to its parametrization, employing the daily …

. We then construct a comprehensive U.S. data set to explore the sources behind the puzzling profitability in more depth …

Value investment and growth investment have attracted a large amount of research in recent decades, but most of this … underdeveloped, particularly when compared to markets such as the U.S. Hence, its behavior regarding value versus growth investment …

We find that aggregate profitability and asset investment exhibit robust joint predictive power for aggregate excess … stock returns, consistent with the investment model of Hou, Xue, and Zhang (henceforth HXZ, 2015). These results provide out … used to explain variation that is market-wide in nature. Also consistent with the HXZ investment model, we find that the …

) Intertemporal CAPM (ICAPM) framework. Factors associated with alternative profitability measures forecast the equity premium in a … market volatility, thus being consistent with their positive prices of risk. The investment-based factors are also strong … with state variables that are more correlated with future investment opportunities or economic activity. Moreover, these …