Sector Investment Growth Rates and the Cross Section of Equity Returns

Autor:	Qing Li, Yuhang Xing, Maria Vassalou
Rok vydání:	2006
Předmět:	Economics and Econometrics Equity risk Financial economics Consumption-based capital asset pricing model Equity (finance) Economics Capital asset pricing model Private equity firm Statistics Probability and Uncertainty Business and International Management Equity capital markets
Zdroj:	Journal of Business. 79:1637-1665
DOI:	10.1086/500687
Popis:	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 Fama‐French (1993) and Lettau‐Ludvigson (2001) models in explaining the 25 Fama‐French size‐sorted and book‐to‐market‐sorted portfolios, as well as other sets of test assets.
Databáze:	OpenAIRE
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