Anomalies
By: Lu Zhang.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11322; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11322.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Rate of return -- Mathematical models.
Description: "I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events.  Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics.  This single equation is shown analytically to be qualitatively consistent with many anomalies, including the relations of future stock returns with market-to-book, investment and disinvestment rates, seasoned equity offerings, tender offers and stock repurchases, dividend omissions and initiations, expected profitability, profitability, and more important, earnings announcement.  The Q-framework also provides a new asset pricing test"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 6/28/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.