Expected investment and the cross-section of stock returns

DOI10.1016/J.ECONLET.2018.08.012zbMATH Open1406.91416OpenAlexW2887384925WikidataQ129370517 ScholiaQ129370517MaRDI QIDQ1629622FDOQ1629622

Authors: Qi Lin, Xi Lin 

Publication date: 12 December 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.08.012

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zbMATH Keywords

cross-sectional returnsexpected investmentexpected investment changemultiperiod \(q\) theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

Cited In (12)

• Lumpy investment and expected stock returns
• An augmented \(q\)-factor model with expected growth
• Expected investment growth and stock returns in an emerging market
• Title not available (Why is that?)
• Expected profitability and the cross-section of stock returns
• The expected real return to equity
• Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios*
• Investment under alternative return assumptions
• Correlations between stock returns and bond returns: income and substitution effects
• Earnings Belief Risk and the Cross-Section of Stock Returns*
• Title not available (Why is that?)
• An investment-based explanation for the dispersion anomaly

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