Li, Qing; Vassalou, Maria; Xing, Yuhang - In: The Journal of Business 79 (2006) 3, pp. 1637-1665
We examine the importance of the information contained in sector investment growth rates for explaining the cross section of equity returns. We propose an empirical specification that outperforms the capital asset pricing model and Cochrane's (1996) model and performs at least as well as the...