Prombutr, Wikrom; Phengpis, Chanwit; Zhang, Ying - In: Journal of Banking & Finance 36 (2012) 9, pp. 2532-2542
We examine if an existing asset pricing model in an unconditional or conditional setting can explain the investment growth anomaly, as represented by higher returns on stocks of the firms with lower growth in capital expenditures. Our results indicate that the conditional Fama–French 3-factor...