Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation

By Yuhang Xing. 2008

392 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/90a5b916e75bd42c7c7856e376ee3ccb8eddcd8c

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Citations in the corpus

Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns? (2010, background): “Zhang (2005), Li, Livdan, and Zhang (2009), and Livdan, Sapriza, and Zhang (2009) use dynamic investment models to understand the value anomaly, external financing anomalies, and the relation between average returns and financing constraints, respectively.”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, neutral): “For example, firms with higher asset growth rates are associated with lower stock returns (asset growth anomaly; see Cooper, Gulen, and Schill, 2008); firms with higher investments are associated with lower stock returns (investment-related anomaly; see Anderson and Garcia-Feijoo, 2006; Xing, 2008; ”
The short of it (2012, positive): “11: Investment-to-Assets Titman, Wei, and Xie (2004) and Xing (2008) show that higher past investment predicts abnormally lower future returns.”
The Asset Growth Effect: Insights from International Equity Markets (2013, background): “…empirical evidence consistent with the optimal investment effect; see, for example, Anderson and Garcia-Feijoo (2006), Fama and French (2006), and Xing (2008). hypothesis, because they offer similar predictions on the relation of corporate investments with both future stock returns and firms’…”
The History of the Cross Section of Stock Returns (2016, positive): “Xing (2008) uses the investment-to-capital ratio to predict stock returns using return”
Digesting Anomalies: An Investment Approach (2015, methodology): “…plant, and equipment Hirshleifer et al. (2004) plus changes in inventory scaled by assets, Lyandres, Sun, and Zhang (2008) IG Investment growth, Xing (2008) NSI Net stock issues, Pontiff and Woodgate (2008) CEI Composite issuance, NXF Net external financing, Daniel and Titman (2006)…”
On the Scope and Drivers of the Asset Growth Effect (2011, positive): “8Xing (2008), like Anderson and Garcia-Feijóo (2006), hypothesizes that the BM ratio and investment variables contain similar information for future equity returns.”
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, background): “11: Investment-to-Assets Titman, Wei, and Xie (2004) and Xing (2008) show that higher past investment predicts abnormally lower future returns.”
The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns (2014, positive): “Investment-to-assets (Titman, Wei, and Xie, 2004, and Xing, 2008) As in SYY, the sample period is from August 1965 through January 2008 for all but anomaly (1), whose data begin in December 1974, and anomalies (2) and (10), whose data begin in January 1972.”
An Augmented q-Factor Model with Expected Growth* (2020, neutral): “Continued D ow nloaded from https://academ ic.oup.com /rof/advance-article-abstract/doi/10.1093/rof/rfaa004/5727769 by Serials D ivision user on 27 April 2020 dIi % change in investment–% change in in- dustry investment, Abarbanell and Bushee (1998) Cei Composite equity issuance, Daniel and Titman (”
Short- and Long-Horizon Behavioral Factors (2019, neutral): “We exclude the systematic volatility (Svol) of Ang, Hodrick, Xing, and Zhang (2006) and the revisions in analysts’ earnings forecasts (6-month holding period, RE-6) of Chan, Jegadeesh, and Lakonishok (1996) from the set of anomalies considered by Hou, Xue, and Zhang (2015), as these two portfolios d”