Title: The 52-Week High, Q Theory and the Asset Growth and Equity Financing Anomalies
Abstract:Hou, Xue and Zhang’s (2015) q-factor model outperforms other factor models in capturing the PTH (the ratio of current price to 52-week high price) anomaly: High-PTH stocks earn high future returns. PT...Hou, Xue and Zhang’s (2015) q-factor model outperforms other factor models in capturing the PTH (the ratio of current price to 52-week high price) anomaly: High-PTH stocks earn high future returns. PTH’s relations with future profitability and future investment growth are both significantly positive, and they mirror PTH’s relation with future returns in the cross-section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment CAPM.Read More
Publication Year: 2014
Publication Date: 2014-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 5
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