• Medientyp: E-Book
  • Titel: The 52-Week High, q Theory and the Cross-Section of Stock Returns
  • Beteiligte: George, Thomas J. [Verfasser:in]; Hwang, Chuan-Yang [Sonstige Person, Familie und Körperschaft]; Li, Yuan [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2017]
  • Umfang: 1 Online-Ressource (51 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.2500335
  • Identifikator:
  • Entstehung:
  • Anmerkungen: In: Journal of Financial Economics (JFE), Forthcoming
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 23, 2017 erstellt
  • Beschreibung: Hou, Xue and Zhang's (2015) q-factor model outperforms other factor models in capturing the PTH (the ratio of current price to 52-week high price) anomaly: High-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross-section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment CAPM
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