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A comparison of new factor models
Hou, Kewei; Xue, Chen; Zhang, Lu - 2015
Using hundreds of significant anomalies as testing portfolios, this paper compares the performance of major empirical asset pricing models. The q-factor model and a closely related five-factor model are the two best performing models among a long array of models. The q-factor model outperforms...
Persistent link: https://www.econbiz.de/10011279578
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Anomalies
Li, Erica X. N. - 2010
performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts …
Persistent link: https://www.econbiz.de/10013149934
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013132883
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A Model of Momentum
Liu, Laura Xiaolei - 2012
We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and...
Persistent link: https://www.econbiz.de/10013115136
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The CAPM strikes back? : an investment model with disasters
Bai, Hang; Hou, Kewei; Kung, Howard; Zhang, Lu - 2015
in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters, and its relative success … in samples with disasters. The standard consumption CAPM fails in simulations, even though a nonlinear model with the …
Persistent link: https://www.econbiz.de/10010531874
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q-factors and investment CAPM
Zhang, Lu - 2019
-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 …
Persistent link: https://www.econbiz.de/10012168924
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The investment CAPM
Zhang, Lu - 2015
. Conceptually as “causal” as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset … empirical patterns that are anomalous in the consumption CAPM. Most important, integrating the anomalies literature in finance … and accounting with neoclassical economics, the investment CAPM succeeds in mounting an efficient markets …
Persistent link: https://www.econbiz.de/10011772360
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The economics of value investing
Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2017
The investment CAPM provides an economic foundation for Graham and Dodd's (1934) Security Analysis, without mispricing …
Persistent link: https://www.econbiz.de/10011968834
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Aggregation, capital heterogeneity, and the investment CAPM
Gonçalves, Andrei S.; Xue, Chen; Zhang, Lu - 2019
CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …
Persistent link: https://www.econbiz.de/10011968853
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Which factors
Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018
Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama-French (2015, 2018) 5-and 6-factor models, and the q5-model captures the Stambaugh-Yuan (2017) model. The Stambaugh-Yuan factors are sensitive to their...
Persistent link: https://www.econbiz.de/10011969114