Do the Investment and Return-on-Equity Factors Proxy for Economic Risks?

被引：5
|
作者：
Wang, Zijun [1 ]
机构：
[1] Texas A&M Univ, Private Enterprise Res Ctr, College Stn, TX 77843 USA
来源：
FINANCIAL MANAGEMENT | 2013年 / 42卷 / 01期
关键词：
ASSET PRICING MODEL; STOCK RETURNS; CROSS-SECTION; VALUE PREMIUM; GROWTH; CONSUMPTION; PORTFOLIOS; VARIABLES; MOMENTUM; MARKET;
D O I：
10.1111/j.1755-053X.2012.01212.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study the information content of two new return factors, the investment factor (IA) and the return-on-equity factor (ROE), as proposed by Chen, Novy-Marx, and Zhang in 2011. First, IA is a strong predictor for future gross domestic product (GDP) growth despite the presence of other financial and economic variables. IA subsumes the pricing power of the GDP factor for the cross section of asset returns. Second, ROE is closely related to innovations in dividend yield and term spread. When modeled together with innovations in state variables that forecast future investment opportunities, IA and ROE lose their explanatory power.
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页码：183 / 209
页数：27
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