Profitability and the Cross-Section of Stock Returns

Dongshuo Jia ()
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Dongshuo Jia: University of Manchester

A chapter in Proceedings of the 2023 5th International Conference on Economic Management and Cultural Industry (ICEMCI 2023), 2024, pp 863-868 from Springer

Abstract: Abstract The purpose of this essay is to determine that whether the profitability of firms is effective on abnormal returns. After using Fama and French 3-factor model, Capital asset pricing model and Fama and French 5-factor model to analyst the cross-section of the stock returns, I found that profitable firms do generate more abnormal returns than less profitable firms.

Keywords: Cross-section of the stock returns; Capital asset pricing model; Fama-French 3 factors model; Fama-French 5 factors model (search for similar items in EconPapers)
Date: 2024
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DOI: 10.2991/978-94-6463-368-9_100

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