q⁵

Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang ()

No 24709, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and constructs an expected growth factor that yields an average premium of 0.82% per month (t = 9.81). The q5-model, which augments the Hou-Xue-Zhang (2015) q-factor model with the new factor, shows strong explanatory power in the cross section, and outperforms other recently proposed factor models such as the Fama-French (2018) six-factor model.

JEL-codes: G12 G14 G31 G32 (search for similar items in EconPapers)
Date: 2018-06
New Economics Papers: this item is included in nep-cfn
Note: AP CF EFG
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