Investment‐Based Expected Stock Returns

By Laura Xiaolei Liu, Toni M. Whited, Lu Zhang. Journal of Political Economy, 2009

427 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dbb49507d97a26492d2f8b1b1f0c220e94af1c97

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Citations in the corpus

New Evidence on the Relation between the Enterprise Multiple and Average Stock Returns (2011, positive): “Liu, Whited, and Zhang (2009) extend Cochrane (1991) to generate a return relationship that is closer to EM.”
The Investment Manifesto (2013, neutral): “Liu et al. (2009), for example, test the ex-ante restriction that the expected (levered) investment return equals the expected stock return, interpreting this restriction as a weaker condition than the ex-post restriction in Eq.”
Innovative Efficiency and Stock Returns (2013, background): “2 Lovallo and Kahneman (2003) emphasize that the inside view tends to promote overoptimism on the part of managers because they are required to weave scenarios, imagine events, or gauge their own levels of ability and control, all of which are susceptible to organizational pressure and cognitive…”
Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns? (2010, background): “Liu, Whited, and Zhang (2009) derive and test implications of investment Euler equations for cross-sectional returns.”
Firm-Level Productivity, Risk, and Return (2014, positive): “Following Liu, Whited, and Zhang (2009), we also compute unlevered equity returns and study the relationship between firm TFPs and future unlevered returns.”
Digesting Anomalies: An Investment Approach (2015, methodology): “As noted, Cochrane (1991) and Liu, Whited, and Zhang (2009) extend this insight into a dynamic world with uncertainty.”
Market Development and the Asset Growth Effect: International Evidence (2013, background): “Rational models based on the q-theory of investment (e.g., Liu, Whited, and Zhang (2009), Li, Livdan, and Zhang (2009), and others) can also explain the negative relation between asset growth and future stock returns.”
Attracting investor attention through advertising (2014, background): “…and statistically significant only if firms experience strong retail buying in the year of increased advertising, suggesting that advertising affects returns only when it captures less sophisticated investors’ 3See, for example, Cochrane (1991, 1996); Zhang (2005); Liu, Whited, and Zhang (2009).”