An Alternative Three-Factor Model

By Long Chen, Robert Novy-Marx, Lu Zhang. 2011

338 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e4c87143ab1eca2456b55c15135f8d9122e8605b

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Citations in the corpus

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, background): “Chen, Novy-Marx, and Zhang (2010) show that ﬁrms with higher past return-on-assets earn abnormally higher subsequent returns.”
The other side of value: The gross profitability premium. (2013, methodology): “slope coefficients and [test-statistics] from regressions of the form yt D ˇ xtj C tj regressions predicting three-year growth regressions predicting ten-year growth (1) (2) (3) (4) (5) (6) (7) (8) (9) (10)”
In Short Supply: Short Sellers and Stock Returns (2015, neutral): “(7) QuarterlyEarnings, following Chen et al. (2010), who find that more profitable firms have higher future returns.”
A Taxonomy of Anomalies and Their Trading Costs (2014, background): “(2004), and Chen et al. (2005) use TAQ data to estimate spreads and price impacts. Keim and Madhavan (1997), Engle et al. (2012), and Frazzini et al. (2014) use proprietary trade datasets.”
The Desire to Acquire and IPO Long-Run Underperformance (2012, methodology): “15We follow Chen, Novy-Marx, and Zhang (2010) in constructing the investment factor.”
Limited Investor Attention and Stock Market Misreactions to Accounting Information (2011, neutral): “D ow nloaded from https://academ ic.oup.com /raps/article-abstract/1/1/35/1528558 by U niversity of C alifornia, Irvine user on 03 July 2020 is also evidence that stocks with high earnings, on average, earn higher returns (Chen, Novy-Marx, and Zhang 2010).”
Cash holdings, risk, and expected returns (2012, methodology): “However, when I adjust for risk using the Fama and French (1993) or the Chen, Novy-Marx, and Zhang (2011) three-factor models, the risk-adjusted excess return of the high cash-to-assets portfolio over the low cash-to-assets portfolio is positive and significant both for equally and value-weighted…”
Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars. (2014, background): “The direct mechanism, whereby local weather impacts traders’ moods, is more difficult to establish, however, as untabultated results show the weather in Bozeman, Montana, or Hawaii, has about as much power predicting anomaly performance as the weather in New York City.”