Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence
Abstract
null null Motivated from null Fama’s (1991) null conjecture of an explicit link between the cross-sectional and time-series stock return predictability, we investigate whether the investment factor constructed from the cross-section of stocks also has time-series predictive power for stock returns within null Merton’s (1973) null ICAPM framework. The evidence from both US and other G-7 countries (except Japan) suggests that the investment factor...
Paper Details
Title
Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence
Published Date
Jul 1, 2014
Volume
44
Issue
7
Pages
219 - 232
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