主题：q5
主讲人：张橹, 俄亥俄州立大学马克斯·M·费舍尔商德州扑克大小
金融学教授
日期：2018年11月21日（周三）
时间：上午10:00 - 11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
In a
multiperiod investment framework, firms with high expected growth earn higher expected
returns than firms with low expected growth, holding investment and ex-pected
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 adds the expected growth factor to the
Hou-Xue-Zhang (2015) q-factor model, shows strong explanatory power in the
cross section and outperforms the recently proposed Fama-French (2018) 6-factor
model.
主讲人简介:
Dr. Lu Zhang is
The John W. Galbreath Chair, Professor of Finance, at Fisher College of
Business, The Ohio State University, as well as Research Associate at National
Bureau of Economic Research (Asset Pricing program) and Associate Editor for
Journal of Financial Economics and Journal of Financial and Quantitative
Analysis. He is Founding President of Macro Finance
Society, which is
an international academic society devoted to advancing and disseminating
high-quality research at the intersection of financial economics and
macroeconomics. Before joining Ohio State in 2010, he taught at Stephen M. Ross
School of Business at University of Michigan and William E. Simon Graduate
School of Business Administration at University of Rochester.
