Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns?

By Dongmei Li, Lu Zhang. 2010

236 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/ff0f22040ae9aa7dc8aa1aa3e128973f3c037fc7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

In Strategy and Management

Citations in the corpus

Empirical cross-sectional asset pricing: a survey (2011, result): “The results in very early tests in Lintner (1965b) and Douglas (1969) seem to reject the notion that expected returns are related only to market betas. However, Miller and Scholes (1972) and Black et al.”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “…securities, as everyone runs for the exit at the 3 See Gomes, Kogan, and Zhang (2003), Zhang (2005), Li, Livdan, and Zhang (2009), Belo (2010), Li and Zhang (2010), Liu and Zhang (2008), Berk, Green, and Naik (1999), Johnson (2002), Sagi and Seasholes (2007), and Liu, Whited, and Zhang (2009).”
Growth Opportunities, Technology Shocks, and Asset Prices (2014, unknown): “A growing branch of asset pricing literature in finance relates Q-based theories of investment to stock return behavior (e.g., Cochrane (1991, 1996); Lyandres, Sun, and Zhang (2008); Liu, Whited, and Zhang (2009); Li, Livdan, and Zhang (2009); Chen, Novy-Marx, and Zhang (2010); Li and Zhang (2010)).”
Long-Run Productivity Risk: A New Hope for Production-Based Asset Pricing? (2014, unknown): “…when the economy seeks to increase aggregate investment, consistent with42 standard q-theory (see, among others, Zhang 2005, Liu et al. 2009, and Li and Zhang 2010).43 Under this setup, the model successfully reproduces key features of both asset prices and macroe-44 conomic quantities such as…”
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, background): “…the accrual anomaly that includes Fama and French (2006), Hirshleifer, Hou, and Teoh (2009), Polk and Sapienza (2009), Hirshleifer and Jiang (2010), Li and Zhang (2010), Hirshleifer, Teoh, and Yu (2011), Lewellen (2011), Stambaugh, Yu, and Yuan (2012), Avramov, Chordia, Jostova, and Philipov…”
The Investment Manifesto (2013, background): “As equilibrium conditions, first-order conditions are not 10Working with the investment first-order condition, Li and Zhang (2010) show that investment frictions should steepen the theoretical relation between expected returns and investment.”