Regularities:
The neoclassical q-theory is a good start to understand the cross section of returns. Under constant return to scale, stock returns equal levered investment returns that are tied directly with characteristics. This equation generates the relations of average returns with book-to-market, investment,...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Series: | Working paper series / National Bureau of Economic Research
13024 |
| Online Access: | Volltext |
| Summary: | The neoclassical q-theory is a good start to understand the cross section of returns. Under constant return to scale, stock returns equal levered investment returns that are tied directly with characteristics. This equation generates the relations of average returns with book-to-market, investment, and earnings surprises. We estimate the model by minimizing the differences between average stock returns and average levered investment returns via GMM. Our model captures well the average returns of portfolios sorted on capital investment and on size and book-to-market, including the small-stock value premium. Our model is also partially successful in capturing the post-earnings-announcement drift and its higher magnitude in small firms. |
| Physical Description: | 58 S. graph. Darst. 22 cm |
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| id | DE-604.BV023592937 |
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| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
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| physical | 58 S. graph. Darst. 22 cm |
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| spelling | Liu, Laura Xiaolei Verfasser (DE-588)130588229 aut Regularities Laura X. L. Liu ; Toni Whited ; Lu Zhang Cambridge, Mass. National Bureau of Economic Research 2007 58 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13024 The neoclassical q-theory is a good start to understand the cross section of returns. Under constant return to scale, stock returns equal levered investment returns that are tied directly with characteristics. This equation generates the relations of average returns with book-to-market, investment, and earnings surprises. We estimate the model by minimizing the differences between average stock returns and average levered investment returns via GMM. Our model captures well the average returns of portfolios sorted on capital investment and on size and book-to-market, including the small-stock value premium. Our model is also partially successful in capturing the post-earnings-announcement drift and its higher magnitude in small firms. Whited, Toni Marion Verfasser (DE-588)133344525 aut Zhang, Lu 1972- Verfasser (DE-588)130536644 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13024 (DE-604)BV002801238 13024 http://papers.nber.org/papers/w13024.pdf kostenfrei Volltext |
| spellingShingle | Liu, Laura Xiaolei Whited, Toni Marion Zhang, Lu 1972- Regularities |
| title | Regularities |
| title_auth | Regularities |
| title_exact_search | Regularities |
| title_exact_search_txtP | Regularities |
| title_full | Regularities Laura X. L. Liu ; Toni Whited ; Lu Zhang |
| title_fullStr | Regularities Laura X. L. Liu ; Toni Whited ; Lu Zhang |
| title_full_unstemmed | Regularities Laura X. L. Liu ; Toni Whited ; Lu Zhang |
| title_short | Regularities |
| title_sort | regularities |
| url | http://papers.nber.org/papers/w13024.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT liulauraxiaolei regularities AT whitedtonimarion regularities AT zhanglu regularities |