Open AccessPosted Content
Digesting Anomalies: An Investment Approach
Kewei Hou,Chen Xue,Lu Zhang +2 more
TLDR
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.Abstract:
Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, equity issues, as well as on investment and return-on-equity; [ii] performs similarly as the Carhart model in pricing portfolios on momentum as well as on size and book-to-market; but [iii] underperforms in pricing the total accrual deciles Our model's performance, combined with its clear economic intuition, suggests that it can serve as a new workhorse model for academic research and investment management practiceread more
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Socially responsible, green, and faith-based investment strategies: Screening activity matters!
TL;DR: In this article, the authors analyzed more than 200 internationally-investing sustainably screened funds and found that socially responsible, green, and faith-based investments have to be considered as different approaches within the broader field of sustainable investing.
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The Profitability and Investment Premium: Pre-1963 Evidence
TL;DR: In this paper, the authors investigate the profitability and investment premium in stock returns using hand-collected data from Moody's Manuals for 1940-1963 and find no reliable relation between investment and returns, regardless of whether investment is measured using growth in total assets or book equity.
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Empirical Investigation of an Equity Pairs Trading Strategy
TL;DR: In this article, the authors show that an equity pairs trading strategy generates large and significant abnormal returns, and that this return is not driven purely by the short-term reversal of returns.
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Q-Theory, Mispricing, and Profitability Premium: Evidence from China
TL;DR: The authors investigated whether rational risk or behavioral mispricing helps to explain the profitability premium in the Chinese stock market setting and found that firms with high profitability generate substantially higher future stock returns than those with low profitability in China.
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Production Networks and Stock Returns: The Role of Vertical Creative Destruction
TL;DR: The authors examined empirically and theoretically the relation between firms' risk and distance to consumers in a production network and found that firms farther away from consumers have higher risk premiums and higher exposure to aggregate productivity.
References
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
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Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
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Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
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