Kewei Hou

TL;DR: In this paper, the authors proposed a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor.

TL;DR: An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns as mentioned in this paper, and with a few exceptions, the Q-Factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3 factor model and the Carhart (1997) 4 factor model in capturing the remaining significant anomalies.

TL;DR: In this article, the authors posit that barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, and firms in less concentrated industries are less risky because they engage in less innovation, and thereby command lower expected returns.

TL;DR: In this article, the authors argue that investors with limited attention will overvalue the firm, because naive earnings-based valuation disregards the firm's relative lack of success in generating cash flows in excess of investment needs.

TL;DR: In this paper, the authors parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its price responds to information, showing that the most delayed firms command a large return premium not explained by size, liquidity, or microstructure effects.