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Equilibrium cross section of returns

Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732

Persistent link: https://www.econbiz.de/10001786306

Asset pricing implications of firms' financing constraints

Gomes Neto, João Batista F.; Yaron, Amir; Zhang, Lu - 2002

Persistent link: https://www.econbiz.de/10001720613

The value premium

Zhang, Lu - In: The journal of finance : the journal of the American … 60 (2005) 1, pp. 67-103

Persistent link: https://www.econbiz.de/10002645600

Equilibrium cross-section of returns

Gomes, Joao (contributor); Kogan, Leonid (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002006966

Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns?

Li, Dongmei - 2011

Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using … constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues …, abnormal corporate investment, or net operating assets anomalies. Limits-to-arbitrage proxies dominate q-theory with investment …

Persistent link: https://www.econbiz.de/10013133882

Covariances Versus Characteristics in General Equilibrium

Lin, Xiaoji - 2011

We question a deep-ingrained doctrine in asset pricing: If an empirical characteristic-return relation is consistent with investor "rationality," the relation must be "explained" by a risk factor model. The investment approach changes the big picture of asset pricing. Factors formed on...

Persistent link: https://www.econbiz.de/10013121598

Digesting Anomalies : An Investment Approach

Hou, Kewei - 2012

Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise,...

Persistent link: https://www.econbiz.de/10013099823

Anomalies

Li, Erica X. N. - 2010

We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and …

Persistent link: https://www.econbiz.de/10013149934

An Alternative Three-Factor Model

Chen, Long - 2014

A new factor model consisting of the market factor, an investment factor, and a return-on-equity factor is a good start to understanding the cross-section of expected stock returns. Firms will invest a lot when their profitability is high and the cost of capital is low. As such, controlling for...

Persistent link: https://www.econbiz.de/10013071089

Covariances versus characteristics in general equilibrium

Lin, Xiaoji; Zhang, Lu - 2011

Persistent link: https://www.econbiz.de/10009240503