Regularities
By: Laura X. L. Liu, Toni Whited, Lu Zhang.
Contributors: Whited,Toni.; Zhang, Lu.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13024; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13024.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "The 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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/1/2007.

Includes bibliographical references.

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Mode of access: World Wide Web.