An Augmented q-Factor Model with Expected Growth*

Autor:	Haitao Mo, Kewei Hou, Lu Zhang, Chen Xue
Rok vydání:	2020
Předmět:	Economics and Econometrics Investment theory Operating cash flow Return on equity Accounting Q factor Econometrics Economics Profitability index Sample (statistics) Investment (macroeconomics) Explanatory power Finance
Zdroj:	Review of Finance. 25:1-41
ISSN:	1573-692X 1572-3097
Popis:	In the investment theory, firms with high expected investment growth earn higher expected returns than firms with low expected investment growth, holding investment and expected profitability constant. Building on cross-sectional growth forecasts with Tobin’s q, operating cash flows, and change in return on equity as predictors, an expected growth factor earns an average premium of 0.84% per month (t = 10.27) in the 1967–2018 sample. The q5 model, which augments the Hou–Xue–Zhang (2015, Rev. Finan. Stud., 28, 650–705) q-factor model with the expected growth factor, shows strong explanatory power in the cross-section and outperforms the Fama–French (2018, J. Finan. Econom., 128, 234–252) six-factor model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::36ce103dd7b0c79a3dc4ab46b1eca9ff https://doi.org/10.1093/rof/rfaa004 Zobrazit plný text záznamu