A Comparison of New Factor Models

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A diagnostic criterion for approximate factor structure (2016, background): “of these factors from the website ofKenneth French. Wedenote the monthly returns of size, investment, and proﬁtability portfolios introduced by Hou et al. (2015) by rme,t, rI/A,t and rROE,t (see also Hou et al. (2014)). Furthermore, we include quality minus junk (qmjt) and bet against beta (babt)fac”
Product market competition, R&D investment, and stock returns (2016, methodology): “Hou, Xue, and Zhang (2014, 2015) show that RD/ME forecasts returns, but that other measures of R&D intensity (e.g., RD/Sales and RD capital/Assets) fail to produce significant highminus-low decile returns, on average, at the 5% level with NYSE breakpoints and value-weighted returns, as well as with…”
The cash conversion cycle spread (2019, background): “…factors of Fama and French (1993) and by a momentum factor), the Fama-French five-factor alpha (Fama and French, 2015, 2016), the q- theory factors (Hou, Xue, and Zhang, 2015, 2016), and the mispricing factors (Stambaugh and Yuan, 2017).14 In the right-most column (Low-minus-High), we report…”