Sector Investment Growth Rates and the Cross Section of Equity Returns

Qing Li, Maria Vassalou and Yuhang Xing
Additional contact information
Qing Li: Columbia University
Maria Vassalou: Columbia University

The Journal of Business, 2006, vol. 79, issue 3, 1637-1665

Abstract: We examine the importance of the information contained in sector investment growth rates for explaining the cross section of equity returns. We propose an empirical specification that outperforms the capital asset pricing model and Cochrane's (1996) model and performs at least as well as the Fama-French (1993) and Lettau-Ludvigson (2001) models in explaining the 25 Fama-French size-sorted and book-to-market-sorted portfolios, as well as other sets of test assets.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (50)

Downloads: (external link)
http://dx.doi.org/10.1086/500687 main text (application/pdf)
Access to the online full text or PDF requires a subscription.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:3:p:1637-1636

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().