The cross-section of investment and profitability: Implications for asset pricing
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DOI: 10.1016/j.jfineco.2022.06.003
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- Chen, Shan & Liu, Xujun & Li, Tao, 2023. "Does the investment-profitability correlation affect the factor premiums? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
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More about this item
Keywords
Investment CAPM; Cross-section of stock returns; q-Factors; Investment premium; Profitability premium; Out-of-sample test;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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