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File: 320dd3d62399cb62b6dba4426d5 D801a7ef 5d447
Prospective book-to-market ratio and expected stock returns ∗ † ‡ Kewei Hou Yan Xu Yuzhao Zhang Feb 2016 We propose a novel stock return predictor, the “prospective book-to-market”, as ...

icon picture PDF Filetype PDF | Posted on 20 Aug 2022 | 2 years ago
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...Prospective book to market ratio and expected stock returns kewei hou yan xu yuzhao zhang feb we propose a novel return predictor the as present value of future demeaned ratios nd that aggregate can signicantly predict with adjusted r squared be tween out sample in addition high minus low investment strategy based on generates signicant monthly alpha ranging from basis points across various factor models spread is also shown non redundant an alternative pricing cross section fisher college business ohio state university neil avenue columbus oh usa phone fax email osu edu faculty economics hong kong pokfulam road yanxuj hku hk rutgers school new jersey newark nj yzhang introduction this paper through decomposing into permanent transitory components our decomposition relates temporary component equity when moves each or all these three terms predictable investor observes information about specically focus dened sum around its long run trend above it signals either temporarily underpriced...
								

							

						
	
												
				
					
					
					
			
					
				
				
		
	

	
		





	

	
				

						

						
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										Category:  Uncategorized / Uncategorized 
										
Posted on: 20 Aug 2022 | 2 years ago
										
										
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