Profitability, asset investment, and aggregate stock returns

被引：4

作者：

Chue, Timothy K. ^{[1
]}

Xu, Jin Karen ^{[2
,3
]}

机构：

[1] Hong Kong Polytech Univ, Sch Accounting & Finance, Kowloon, Hong Kong, Peoples R China

[2] Shanghai Int Studies Univ, Sch Business & Management, Shanghai, Peoples R China

[3] Shanghai Int Studies Univ, Shanghai, Peoples R China

来源：

JOURNAL OF BANKING & FINANCE | 2022年 / 143卷

关键词：

Profitability; Asset growth; Discount rates; Aggregate stock return forecasts; CROSS-SECTION; FORECAST ACCURACY; CASH FLOWS; SENTIMENT; GROWTH; MARKET; ANOMALIES; ACCRUALS; TESTS; RISK;

D O I：

10.1016/j.jbankfin.2022.106597

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

S C We find that aggregate profitability and asset investment exhibit robust joint predictive power for ag-gregate 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.(c) 2022 Elsevier B.V. All rights reserved.

引用

页数：23

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