Q-factors and Investment CAPM

Lu Zhang
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Lu Zhang: Ohio State U

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: The q-factor model shows strong explanatory power and largely summarizes the cross section of average stock returns. In particular, the q-factor model fully subsumes the Fama-French (2018) 6-factor model in head-to-head factor spanning tests. The q-factor model is an empirical implementation of the investment CAPM. The basic philosophy is to price risky assets from the perspective of their suppliers (firms), as opposed to their buyers (investors). As a disruptive innovation, the investment CAPM has broad-ranging implications for academic finance and asset management practice.

JEL-codes: D21 D92 E22 E44 G12 G14 G31 G32 G35 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-cfn and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:ohidic:2019-30

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