Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/95563
DC Field | Value | Language |
---|---|---|
dc.contributor | School of Accounting and Finance | en_US |
dc.creator | Chue, TK | en_US |
dc.creator | Xu, JK | en_US |
dc.date.accessioned | 2022-09-21T10:12:51Z | - |
dc.date.available | 2022-09-21T10:12:51Z | - |
dc.identifier.issn | 0378-4266 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/95563 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Profitability | en_US |
dc.subject | Asset growth | en_US |
dc.subject | Discount rates | en_US |
dc.subject | Aggregate stock return forecasts | en_US |
dc.title | Profitability, asset investment, and aggregate stock returns | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.volume | 143 | en_US |
dc.identifier.doi | 10.1016/j.jbankfin.2022.106597 | en_US |
dcterms.abstract | We find that aggregate profitability and asset investment exhibit robust joint predictive power for aggregate excess stock returns, consistent with the investment model of Hou, Xue, and Zhang (henceforth HXZ, 2015). These results provide out-of-sample empirical support for HXZ, as the same mechanisms that HXZ use to explain firm-specific variation in stock returns can also be used to explain variation that is market-wide in nature. Also consistent with the HXZ investment model, we find that the growth rate of short-term (long-term) assets exhibits a stronger predictive power for one-year-ahead (two-year-ahead) stock returns. | en_US |
dcterms.accessRights | embargoed access | en_US |
dcterms.bibliographicCitation | Journal of banking and finance, Oct. 2022, v. 143, 106597 | en_US |
dcterms.isPartOf | Journal of banking and finance | en_US |
dcterms.issued | 2022-10 | - |
dc.identifier.isi | WOS:000835561300002 | - |
dc.identifier.scopus | 2-s2.0-85134753971 | - |
dc.identifier.eissn | 1872-6372 | en_US |
dc.identifier.artn | 106597 | en_US |
dc.description.validate | 202209 bckw | en_US |
dc.description.oa | Not applicable | en_US |
dc.identifier.FolderNumber | RGC-B2-1138 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.date.embargo | 2025-10-31 | en_US |
dc.description.oaCategory | Green (AAM) | en_US |
Appears in Collections: | Journal/Magazine Article |
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