Hou, Kewei. <br/><br/>
q⁵ / 
Kewei Hou, Haitao Mo, Chen Xue, Lu Zhang. 
 - Cambridge, Mass.  National Bureau of Economic Research  2018. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w24709 .
 - Working Paper Series (National Bureau of Economic Research)  no. w24709. .
<br/><br/> June 2018. 
<br/><br/> 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. 
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