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Author: Kewei Hou; Haitao Mo; Chen Xue; Lu Zhang; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2018.
Series: Working paper series (National Bureau of Economic Research), no. 24709.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Kewei Hou; Haitao Mo; Chen Xue; Lu Zhang; National Bureau of Economic Research,
OCLC Number: 1041124186
Notes: "June 2018"
Includes online appendix (35 pages).
Description: 1 online resource (59 pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 24709.
Other Titles: q5
q-five
Responsibility: Kewei Hou, Haitao Mo, Chen Xue, Lu Zhang.

Abstract:

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) six-factor model.

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