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An Augmented q-Factor Model with Expected Growth
[Abnormal returns to a fundamental analysis strategy]

Citations

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Cited by:

  1. Amit Goyal & Alessio Saretto, 2022. "Are Equity Option Returns Abnormal? IPCA Says No," Working Papers 2214, Federal Reserve Bank of Dallas.
  2. Gharghori, Philip & Nguyen, Annette, 2025. "Which factors in China? A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
  3. Kuppenheimer, Gregory & Shelly, Stuart & Strauss, Jack, 2023. "Can machine learning identify sector-level financial ratios that predict sector returns?," Finance Research Letters, Elsevier, vol. 57(C).
  4. Kan, Raymond & Wang, Xiaolu & Zheng, Xinghua, 2024. "In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models," Journal of Financial Economics, Elsevier, vol. 155(C).
  5. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  6. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
  7. Grau-Vera, David & Rubio, Gonzalo, 2024. "Risk-adjusted performance of new economy indices and thematic sectors," Research in International Business and Finance, Elsevier, vol. 71(C).
  8. Jinghai He & Cheng Hua & Chunyang Zhou & Zeyu Zheng, 2025. "Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information," Papers 2501.17992, arXiv.org.
  9. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
  10. Li, Sicong & DeMiguel, Victor & Martín-Utrera, Alberto, 2024. "Comparing factor models with price-impact costs," Journal of Financial Economics, Elsevier, vol. 162(C).
  11. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
  12. Olli-Matti Laine, 2023. "Monetary Policy and Stock Market Valuation," International Journal of Central Banking, International Journal of Central Banking, vol. 19(1), pages 365-416, March.
  13. Kilic, Mete & Yang, Louis & Zhang, Miao Ben, 2022. "The cross-section of investment and profitability: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 145(3), pages 706-724.
  14. Nettayanun, Sampan, 2023. "Asset pricing in bull and bear markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  15. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2025. "Factor momentum versus price momentum: Insights from international markets," Journal of Banking & Finance, Elsevier, vol. 170(C).
  16. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  17. Chao Gao & Grace Xing Hu & Xiaoyan Zhang, 2026. "Uncertainty Risk Resolution Before Earnings Announcements," Management Science, INFORMS, vol. 72(3), pages 1835-1857, March.
  18. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
  19. Müller, Sebastian & Pugachyov, Nikolay & Weigert, Florian, 2026. "Forecasting mutual fund performance: Combining return-based with portfolio holdings-based predictors," CFR Working Papers 26-01, University of Cologne, Centre for Financial Research (CFR).
  20. Useong Shin, 2026. "Overshooting the Coordinate: Where Factor Corrections Land on Characteristic Axes," Papers 2607.05091, arXiv.org, revised Jul 2026.
  21. Hegde, Shantaram P. & Mishra, Dev R., 2023. "Patented knowledge capital and implied equity risk premium," Journal of Banking & Finance, Elsevier, vol. 148(C).
  22. Bae, Jaewan & Kang, Jangkoo, 2023. "Human capital quality and stock returns," Journal of Banking & Finance, Elsevier, vol. 152(C).
  23. Meng, Qingbin & Qi, Ji & Wang, Solomon & Zhao, Xuankai, 2026. "Disciplining the factor zoo: Identifying pricing factors in the Chinese stock market," Economic Modelling, Elsevier, vol. 155(C).
  24. Cong, Lin William & Feng, Guanhao & He, Jingyu & He, Xin, 2025. "Growing the efficient frontier on panel trees," Journal of Financial Economics, Elsevier, vol. 167(C).
  25. Li, Yinan & Liu, Qiang & Guo, Shuxin, 2025. "Ambiguity and stock price crash risk: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  26. Y. Eser Arisoy & Turan G. Bali & Yi Tang, 2024. "Investor Regret and Stock Returns," Management Science, INFORMS, vol. 70(11), pages 7537-7558, November.
  27. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2024. "The Economics of Security Analysis," Management Science, INFORMS, vol. 70(1), pages 164-186, January.
  28. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  29. Xiping Cui, 2026. "Reconstruction of the profitability factor in China," Journal of Asset Management, Palgrave Macmillan, vol. 27(2), pages 1-25, June.
  30. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
  31. Lin, Qi, 2022. "Understanding idiosyncratic momentum in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  32. Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  33. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
  34. Shi, Qi & Li, Bin, 2022. "Further evidence on financial information and economic activity forecasts in the United States," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  35. Azevedo, Vitor & Müller, Sebastian, 2024. "Analyst recommendations and mispricing across the globe," Journal of Banking & Finance, Elsevier, vol. 169(C).
  36. Peterburgsky, Stanley, 2024. "An industry-level analysis of a pandemic's impact on stock market risk," International Review of Economics & Finance, Elsevier, vol. 95(C).
  37. Soroush Ghazi & Mark Schneider & Jack Strauss, 2025. "Market Ambiguity Attitude Restores the Risk-Return Trade-Off," Management Science, INFORMS, vol. 71(10), pages 8430-8451, October.
  38. Mao, Yang-Rong & Shi, Huai-Long & Chen, Huayi & Wan, Yu-Lei, 2025. "Detecting cross-firm momentum effects via shared analyst coverage: The role of leaders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 105(C).
  39. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
  40. Sak, Halis & Huang, Tao & Chng, Michael T., 2024. "Exploring the factor zoo with a machine-learning portfolio," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  41. Kılıç, Mete & Tüzel, Şelale, 2026. "Investing in misallocation," Journal of Financial Economics, Elsevier, vol. 176(C).
  42. Budras, Oliver & Dierkes, Maik & Sckade, Florian, 2025. "Localized risk factors: Performance differentials between state-level and US factor models," Economic Modelling, Elsevier, vol. 147(C).
  43. Cao, Min & Martin, J. Spencer & Yao, Yaqiong, 2025. "Understanding stock price behavior around external financing," Journal of Corporate Finance, Elsevier, vol. 91(C).
  44. Lim, Bryan & Sotes-Paladino, Juan & Wang, George Jiaguo & Yao, Yaqiong, 2024. "The value of growth: Changes in profitability and future stock returns," Journal of Banking & Finance, Elsevier, vol. 158(C).
  45. Heping Xiong & Chao Tang & Jianhui Cao & Haitao Zhang, 2025. "A New Four-factor Model for the Chinese Stock Market," Annals of Economics and Finance, Society for AEF, vol. 26(2), pages 853-890, November.
  46. Qi Shi, 2024. "The Second RP-PCA Factor and Crude Oil Price Predictability," Prague Economic Papers, Prague University of Economics and Business, vol. 2024(6), pages 662-690.
  47. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).
  48. Kolokolova, Olga & Xu, Xia, 2024. "Enhancing betting against beta with stochastic dominance," Journal of Empirical Finance, Elsevier, vol. 76(C).
  49. Zhang, Yu & Kappou, Konstantina & Urquhart, Andrew, 2024. "Macroeconomic momentum and cross-sectional equity market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  50. Fousseni Chabi-Yo & Andrei S. Gonçalves & Johnathan A. Loudis, 2025. "An Intertemporal Risk Factor Model," Management Science, INFORMS, vol. 71(8), pages 6518-6544, August.
  51. Bae, Jaewan & Kang, Jangkoo, 2024. "Asset pricing implications of firms' profit sharing," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
  52. Radi, Sherrihan & Gebka, Bartosz & Kallinterakis, Vasileios, 2024. "The wisdom of the madness of crowds: Investor herding, anti-herding, and stock-bond return correlation," Journal of Economic Behavior & Organization, Elsevier, vol. 224(C), pages 966-995.
  53. Jacobs, Heiko & Lauber, Alexander, 2026. "Media reporting and asset pricing models," Journal of Banking & Finance, Elsevier, vol. 182(C).
  54. Lin, Qi & Lin, Xi, 2021. "Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  55. Cao, Jie & Hsu, Jason C. & Song, Linjia & Xiao, Zhanbing & Zhan, Xintong, 2025. "Smart beta, “smarter” flows," Journal of Empirical Finance, Elsevier, vol. 81(C).
  56. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  57. Mbengue, Mohamed Lamine & Ndiaye, Bara & Sy, Oumar, 2023. "Which factors explain African stock returns?," Finance Research Letters, Elsevier, vol. 54(C).
  58. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
  59. Ho, Thang, 2022. "Climate change news sensitivity and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 83(C).
  60. Hansen, Erwin, 2022. "Economic evaluation of asset pricing models under predictability," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 50-66.
  61. Hearn, Bruce & Tauringana, Venancio & Ntim, Collins & Malagila, John K. & Mishra, Tapas, 2025. "Asset pricing in African frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 97(C).
  62. Graef, Frank & Hoechle, Daniel & Schmid, Markus, 2025. "Firm-specific versus systematic momentum," Finance Research Letters, Elsevier, vol. 76(C).
  63. Andreou, Panayiotis C. & Lambertides, Neophytos & Trigeorgis, Lenos & Tuneshev, Ruslan, 2025. "Customer orientation and stock resilience during adversity periods," Journal of Corporate Finance, Elsevier, vol. 93(C).
  64. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
  65. Ghazi, Soroush & Schneider, Mark & Strauss, Jack, 2025. "Momentum is still there conditional on volatility-amplified pessimism," Journal of Empirical Finance, Elsevier, vol. 84(C).
  66. Yimeng Qiu, 2026. "Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework," Papers 2603.21672, arXiv.org, revised Mar 2026.
  67. Fang, Ming & Taylor, Stephen, 2021. "A machine learning based asset pricing factor model comparison on anomaly portfolios," Economics Letters, Elsevier, vol. 204(C).
  68. Lin, Jianhao & Fan, Jiacheng & Zhang, Yifan, 2025. "Information Dissemination and the Monetary Policy Uncertainty Premium: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 171(C).
  69. Abad, David & Nieto, Belén & Pascual, Roberto & Rubio, Gonzalo, 2023. "Market-wide illiquidity and the distribution of non-parametric stochastic discount factors," International Review of Financial Analysis, Elsevier, vol. 87(C).
  70. Vu, Thanh Nam & Lehkonen, Heikki & Junttila, Juha-Pekka & Lucey, Brian, 2025. "ESG investment performance and global attention to sustainability," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  71. Budras, Oliver & Dierkes, Maik & Schroen, Sebastian, 2026. "Text-implied uncertainty in 10-K filings: Do investors get the message?," The Quarterly Review of Economics and Finance, Elsevier, vol. 106(C).
  72. Chue, Timothy K. & Xu, Jin Karen, 2022. "Profitability, asset investment, and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 143(C).
  73. Yartseva, Anna, 2025. "The Alchemy of Multibagger Stocks: An empirical investigation of factors that drive outperformance in the stock market," CAFE Working Papers 33, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.
  74. Aoxin Zhang & Yuhan Cheng & Kwanting Leung, 2026. "Benchmarking Deep Time Series Models for Equity Portfolios," Papers 2606.09420, arXiv.org.
  75. Henriquez-Salman, Ricardo, 2025. "Methodological ESG uncertainty in portfolio sorts," Research in International Business and Finance, Elsevier, vol. 80(C).
  76. Assoe, Kodjovi & Attig, Najah & Sy, Oumar, 2024. "The battle of factors," Global Finance Journal, Elsevier, vol. 62(C).
  77. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
  78. Pedro Reis & Ana Paula Serra & Jo~ao Gama, 2025. "The Role of Deep Learning in Financial Asset Management: A Systematic Review," Papers 2503.01591, arXiv.org.
  79. Shi, Huai-Long & Chen, Huayi, 2023. "Revisiting asset co-movement: Does network topology really matter?," Research in International Business and Finance, Elsevier, vol. 66(C).
  80. Fliegel, Philip, 2025. "“Brown” Risk or “Green” Opportunity? The dynamic pricing of climate transition risk on global financial markets," Energy Economics, Elsevier, vol. 145(C).
  81. Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.
  82. Zhibing Li & Laura Xiaolei Liu & Xiaoyu Liu & K. C. John Wei, 2024. "Replicating and Digesting Anomalies in the Chinese A-Share Market," Management Science, INFORMS, vol. 70(8), pages 5066-5090, August.
  83. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
  84. Park, Haerang & Oh, Byungmin, 2025. "Sell-side analysts and mutual fund managers: Complements or substitutes?," Journal of Banking & Finance, Elsevier, vol. 176(C).
  85. Shi, Yan & Zhang, Zili & Zhao, Xuejun, 2024. "Product network and origin of common equity factor risks," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
  86. Hyun Jung Rim & Jenny Zha Giedt, 2026. "Mistaking bad news for good news: investor optimism and mispricing of strategic alternatives announcements," Review of Accounting Studies, Springer, vol. 31(1), pages 167-209, March.
  87. Cong, Lin William & George, Nathan Darden & Wang, Guojun, 2023. "RIM-based value premium and factor pricing using value-price divergence," Journal of Banking & Finance, Elsevier, vol. 149(C).
  88. Lin William Cong & Guanhao Feng & Jingyu He & Xin He, 2022. "Growing the Efficient Frontier on Panel Trees," NBER Working Papers 30805, National Bureau of Economic Research, Inc.
  89. Barroso, Pedro & Maio, Paulo, 2024. "The risk–return tradeoff among equity factors," Journal of Empirical Finance, Elsevier, vol. 78(C).
  90. Dat Mai, 2024. "StockGPT: A GenAI Model for Stock Prediction and Trading," Papers 2404.05101, arXiv.org, revised Oct 2024.
  91. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2022. "Dissecting green returns," Journal of Financial Economics, Elsevier, vol. 146(2), pages 403-424.
  92. Messis, Petros & Alexandridis, Antonios K. & Zapranis, Achilleas, 2025. "A qualitative parameter for beta changes," International Review of Economics & Finance, Elsevier, vol. 103(C).
  93. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
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