The 52-week high, q-theory, and the cross section of stock returns

Thomas J. George; Chuan Yang Hwang; Yuan Li

doi:10.1016/j.jfineco.2018.01.005

The 52-week high, q-theory, and the cross section of stock returns

Thomas J. George^*, Chuan Yang Hwang, Yuan Li

^*Corresponding author af dette arbejde

Institut for Økonomi

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

1 Citationer (Scopus)

Abstract

The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model.

Originalsprog	Engelsk
Tidsskrift	Journal of Financial Economics
Vol/bind	128
Nummer	1
Sider (fra-til)	148-163
Antal sider	16
ISSN	0304-405X
DOI	https://doi.org/10.1016/j.jfineco.2018.01.005
Status	Udgivet - 1 apr. 2018

Adgang til dokumentet

10.1016/j.jfineco.2018.01.005

Andre filer og links

http://www.scopus.com/inward/record.url?scp=85041674004&partnerID=8YFLogxK

Citationsformater

@article{0e5337f7b82941b7a6355c56856c4e7d,

title = "The 52-week high, q-theory, and the cross section of stock returns",

abstract = "The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model.",

keywords = "52-week high, Anomalies, Investment growth, Profitability, q-factor model",

author = "George, {Thomas J.} and Hwang, {Chuan Yang} and Yuan Li",

year = "2018",

month = apr,

day = "1",

doi = "10.1016/j.jfineco.2018.01.005",

language = "English",

volume = "128",

pages = "148--163",

journal = "Journal of Financial Economics",

issn = "0304-405X",

publisher = "Elsevier BV",

number = "1",

}

TY - JOUR

T1 - The 52-week high, q-theory, and the cross section of stock returns

AU - George, Thomas J.

AU - Hwang, Chuan Yang

AU - Li, Yuan

PY - 2018/4/1

Y1 - 2018/4/1

N2 - The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model.

AB - The Hou et al. (2015) q-factor model outperforms other factor models in capturing the price-to-high (PTH, the ratio of current price to 52-week high price) anomaly; that is, high-PTH stocks earn high future returns. PTH's relations with future profitability and future investment growth are both significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model.

KW - 52-week high

KW - Anomalies

KW - Investment growth

KW - Profitability

KW - q-factor model

UR - http://www.scopus.com/inward/record.url?scp=85041674004&partnerID=8YFLogxK

U2 - 10.1016/j.jfineco.2018.01.005

DO - 10.1016/j.jfineco.2018.01.005

M3 - Journal article

AN - SCOPUS:85041674004

SN - 0304-405X

VL - 128

SP - 148

EP - 163

JO - Journal of Financial Economics

JF - Journal of Financial Economics

IS - 1

ER -

The 52-week high, q-theory, and the cross section of stock returns

Abstract

Adgang til dokumentet

Andre filer og links

Fingeraftryk

Citationsformater