Abstract

In the investment theory, firms with high expected investment growth earn higher expected returns than firms with low expected investment growth, holding investment and expected profitability constant. Building on cross-sectional growth forecasts with Tobin’s q, operating cash flows, and change in return on equity as predictors, an expected growth factor earns an average premium of 0.84% per month (t = 10.27) in the 1967–2018 sample. The q⁵ model, which augments the Hou–Xue–Zhang (2015, Rev. Finan. Stud., 28, 650–705) q-factor model with the expected growth factor, shows strong explanatory power in the cross-section and outperforms the Fama–French (2018, J. Finan. Econom., 128, 234–252) six-factor model.

中文翻译：

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具有预期增长的增强q因子模型*

摘要

在投资理论中，具有较高预期投资增长的公司比具有较低预期投资增长，持有投资且预期获利能力恒定的公司获得更高的预期收益。在以Tobin的q，运营现金流量和股本回报率变化作为预测因子的横截面增长预测的基础上，1967-2018年样本中的预期增长因子平均每月可获得0.84％的溢价（t  =  10.27）。该q ⁵模式，增强了侯-薛-张（2015年修订版菲南梭哈。，28，650-705）q具有预期增长因子的因子模型，在横截面上显示出强大的解释力，并且优于Fama–French（2018，J. Finan。Econom 。，128，234–252）的六因子模型。