Regularities

摘要：

The q theory of investment implies a purely characteristic-based expected-return model. Under constant return to scale, stock return equals investment return, which is tied directly with firm characteristics. We use a two-period example to show analytically that the investment-return equation is consistent with the relations of average returns with book-to-market, investment-toasset, and earnings surprises. Using GMM, we estimate the q-theoretic expected return model by minimizing the dierences between average stock returns in the data and average unlevered investment returns. Our model captures quantitatively the average returns of portfolios sorted on investment-to-asset and on size and book-to-market, including the small-stock value premium. The model is also partially successful in matching the post-earnings-announcement drift and its higher magnitude in small firms.

作者: Laura X. L. Liu Toni M. Whited Lu Zhang

作者单位: Finance Department, School of Business and Management, Hong Kong University of Science and Technolog Department of Finance, School of Business, University of Wisconsin at Madison, 975 University Avenue Finance Department, Stephen M.Ross School of Business, University of Michigan, 701 Tappan Street, E

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-52

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）