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• W2000922998 abstract "We study the information content of two new return factors, the investment factor (IA) and the return‐on‐equity factor (ROE), as proposed by Chen, Novy‐Marx, and Zhang in 2011. First, IA is a strong predictor for future gross domestic product (GDP) growth despite the presence of other financial and economic variables. IA subsumes the pricing power of the GDP factor for the cross section of asset returns. Second, ROE is closely related to innovations in dividend yield and term spread. When modeled together with innovations in state variables that forecast future investment opportunities, IA and ROE lose their explanatory power." @default.
• W2000922998 created "2016-06-24" @default.
• W2000922998 creator A5063741386 @default.
• W2000922998 date "2012-08-01" @default.
• W2000922998 modified "2023-10-17" @default.
• W2000922998 title "Do the Investment and Return-on-Equity Factors Proxy for Economic Risks?" @default.
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• W2000922998 doi "https://doi.org/10.1111/j.1755-053x.2012.01212.x" @default.
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