Verlag:
The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]
In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and...
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ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and constructs an expected growth factor that yields an average premium of 0.82% per month (t =9.81). The q5 model, which augments the Hou-Xue-Zhang (2015) q-factor model with the new factor, shows strong explanatory power in the cross section, and outperforms other recently proposed factor models such as the Fama-French (2018) 6-factor model
Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2018, 10
Charles A. Dice Center Working Paper ; No. 2018-10
Fisher College of Business working paper series ; WP 2018-03-010
