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dc.contributor.authorZhang, Lu
dc.contributorLiu, Laura X. L.
dc.contributorWhited, Toni M.
dc.date.accessioned2007-03-30T15:58:57Z
dc.date.available2007-03-30T15:58:57Z
dc.date.issued2007-04
dc.identifier1071en
dc.identifier.urihttps://hdl.handle.net/2027.42/49547
dc.description.abstractThe neoclassical q-theory is a good start to understand the cross section of returns. Under constant return to scale, stock returns equal levered investment returns that are tied directly with characteristics. This equation generates the relations of average returns with book-to-market, investment, and earnings surprises. We estimate the model by minimizing the differences between average stock returns and average levered investment returns via GMM. Our model captures well the average returns of portfolios sorted on capital investment and on size and book-to-market, including the small-stock value premium. Our model is also partially successful in capturing the post-earnings-announcement drift and its higher magnitude in small firms.en
dc.format.extent465665 bytes
dc.format.mimetypeapplication/pdf
dc.subjectAnomalies, Tobin's Q, time-varying expected returns, rational expectationsen
dc.subject.classificationFinanceen
dc.titleRegularitiesen
dc.typeWorking Paperen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.contributor.affiliationumRoss School of Businessen
dc.contributor.affiliationotherHong Kong University of Science and Technologyen
dc.contributor.affiliationotherUniversity of Wisconsinen
dc.contributor.affiliationumcampusAnn Arbor
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/49547/1/1071-Zhang.pdfen_US
dc.owningcollnameBusiness, Stephen M. Ross School of - Working Papers Series


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