English, Article, Journal or magazine article edition: Testing the q-Theory of Anomalies Toni M. Whited; Lu Zhang

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Bookmark: http://trove.nla.gov.au/version/30124
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing the q-Theory of Anomalies
Author
  • Toni M. Whited
  • Lu Zhang
Physical Description
  • preprint
Notes
  • The q-theory explanations of asset pricing anomalies are quantitatively important. We perform a new asset pricing test by using GMM to minimize the difference between average stock returns in the data and average investment returns constructed from observable firm characteristics. Under various specifications, the model-implied average returns display similar magnitudes of dispersion across portfolios sorted on investment-to-asset and on size and book-to-market. But the predicted dispersions in average returns among portfolios sorted on earnings surprises are somewhat smaller in magnitude than those observed in the data
  • q-theory, asset pricing anomalies, structural estimation
  • RePEc:red:sed006:380
Language
  • English
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