TY  - BOOK
AU  - Hou,Kewei
AU  - Mo,Haitao
AU  - Xue,Chen
AU  - Zhang,Lu
ED  - National Bureau of Economic Research.
TI  - q⁵
T2  - NBER working paper series
PY  - 2018///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - June 2018; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w24709
UR  - http://dx.doi.org/10.3386/w24709
ER  -