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dc.contributorSchool of Accounting and Financeen_US
dc.creatorChue, TKen_US
dc.creatorXu, JKen_US
dc.date.accessioned2022-09-21T10:12:51Z-
dc.date.available2022-09-21T10:12:51Z-
dc.identifier.issn0378-4266en_US
dc.identifier.urihttp://hdl.handle.net/10397/95563-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2022 Elsevier B.V. All rights reserved.en_US
dc.rights© 2022. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/en_US
dc.rightsThe following publication Chue, T. K., & Xu, J. K. (2022). Profitability, asset investment, and aggregate stock returns. Journal of Banking & Finance, 143, 106597 is available at https://doi.org/10.1016/j.jbankfin.2022.106597.en_US
dc.subjectProfitabilityen_US
dc.subjectAsset growthen_US
dc.subjectDiscount ratesen_US
dc.subjectAggregate stock return forecastsen_US
dc.titleProfitability, asset investment, and aggregate stock returnsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.volume143en_US
dc.identifier.doi10.1016/j.jbankfin.2022.106597en_US
dcterms.abstractWe 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.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of banking and finance, Oct. 2022, v. 143, 106597en_US
dcterms.isPartOfJournal of banking and financeen_US
dcterms.issued2022-10-
dc.identifier.isiWOS:000835561300002-
dc.identifier.scopus2-s2.0-85134753971-
dc.identifier.eissn1872-6372en_US
dc.identifier.artn106597en_US
dc.description.validate202209 bckwen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberRGC-B2-1138-
dc.description.fundingSourceRGCen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryGreen (AAM)en_US
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