Neoclassical factors
By: Long Chen, Lu Zhang.
Contributors: Zhang, Lu, 1972-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 13282.; Working paper series (National Bureau of Economic Research) -- working paper no. 13282.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 56
Subjects: Econometric models
Description: The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage.
Notes: "July 2007"

Includes bibliographical references (p. 33-36).

Also available in PDF from the NBER world wide web site (www.nber.org).