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|Material Type:||Document, Internet resource|
|Document Type:||Internet Resource, Computer File|
|All Authors / Contributors:||
Long Chen; Lu Zhang; National Bureau of Economic Research.
|Description:||1 online resource (1 volume).|
|Series Title:||Working paper series (National Bureau of Economic Research), no. 13282.|
|Responsibility:||Long Chen, Lu Zhang.|
The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage.
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