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Digesting Anomalies : An Investment Approach

Author: Kewei Hou; Chen Xue; Lu Zhang
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2012.
Series: Working paper series (National Bureau of Economic Research), no. w18435.
Edition/Format:   eBook : EnglishView all editions and formats
Summary:
Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, net stock issues, composite issuance, as well as on investment and return on  Read more...
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Material Type: Internet resource
Document Type: Internet Resource
All Authors / Contributors: Kewei Hou; Chen Xue; Lu Zhang
OCLC Number: 1027305380
Notes: October 2012.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w18435.
Responsibility: Kewei Hou, Chen Xue, Lu Zhang.

Abstract:

Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size factor, an investment factor, and a return on equity factor. The new factor model outperforms the Carhart four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, net stock issues, composite issuance, as well as on investment and return on equity. The new model performs similarly as the Carhart model in pricing portfolios formed on size and momentum, abnormal corporate investment, as well as on size and book-to-market, but underperforms in pricing the total accrual deciles. The new model's performance, combined with its clear economic intuition, suggests that it can be used as a new workhorse model for academic research and investment management practice.

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