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- W3141920774 abstract "I incorporate the productivity risks into an investment-based q-factor asset pricing model. The productivity risks factors largely summarize the cross-sectional portfolio return, where the time-varying volatility plays an important role. A parsimonious q-factor model driven by productivity risks explains about 90% variation of return of 25 Size/BM portfolios and 75% variation of return of 160 portfolios, which is comparable to the Fama-French multifactor models, the Carhart (1997) four-factor model, and the Hou, Mo, Xue & Zhang (2020) augmented q-factor model. As such, productivity risks significantly affect asset prices and can be one of the potential forces driving investment-based factor models." @default.
- W3141920774 created "2021-04-13" @default.
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- W3141920774 date "2020-01-01" @default.
- W3141920774 modified "2023-10-16" @default.
- W3141920774 title "A Productivity Risks Driving q-Factor Model" @default.
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- W3141920774 doi "https://doi.org/10.2139/ssrn.3728181" @default.
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