Conlon, Thomas; Cotter, John; Jin, Chenglu - 2022
effect on profitability and investment has not yet been assessed. In this paper, we investigate the pricing roles of these … two factors, using overlapping profitability and investment returns over horizons from 1 month to 5 years. Using different … particular, the profitability factor has significant pricing power in most horizons, while the investment factor is only priced …