The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French’s three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value...

Firm Profitability - Does it really matter for shareholder return or ROE (return on equity)? Does this question sound oxymoron and antithetic? Not really. On the contrary, evidence has surfaced that Returns on equity - based on the shareholders' equity accounted in the balance sheet - is not...

Prior literature in accounting and financial economics measures asset growth as year-over-year growth in total assets. Such growth estimates are upward biased when firms engage in mergers and acquisitions. We decompose asset growth into merger-related and organic growth components, and find that...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

We study the role of E-commerce livestream flows growth in the stock price discovery process. Using a proprietary data set on firm-level E-commerce livestream flows records during July 2016 to December 2020 from the leading E-commerce livestream platform in China, we find that E-commerce...

We examine the relation between an ex ante measure of IPO growth prospects – the industry-level long-term analyst earnings growth forecast – and short- and long-run IPO returns, using a sample of 7,570 IPOs from 1982 to 2007. The use of an industry-level, rather than firm-level growth...

This paper examines the performance of equity factor portfolios during the Quant Crisis of 2018-2020. We find that there was basically only one way to outperform during this period, namely by investing in the largest and most expensive growth stocks. Other factors were only effective to the...

I propose a Capital Asset Pricing Model in which investor demand exhibits a speculative component. In equilibrium, investors' optimal trade-off between diversification and speculation generates predictable patterns for stocks with extreme book-to-market ratios. Consistent with the model...

The factors in the widely used Fama-French model experienced a negative average return over the 2010-2019 period. Perhaps surprisingly, such a lost decade is not unprecedented in history, as factor performance in the 2010s is, in fact, remarkably similar to factor performance in the 1990s. By...