The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Investment‐Based Expected Stock Returns
Abstract
We derive and test q‐theory implications for cross‐sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use generalized method of moments to match average levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios sorted by earnings surprises, book‐to‐market equity, and capital investment. When we try to match expected returns and return variances simultaneously, the variances predicted in the model are largely comparable to those observed in the data. However, the resulting expected return errors are large.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
Metadata
- Authors
- Liu, L. X., Whited, T. M., & Zhang, L.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2009-12
- Volume
- 117
- Issue
- 6
- Pages
- 1105-1139
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2034960998
- Cited by
- 432
- References
- 1
- FWCI
- 50.98
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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