The 52-week high, q-theory, and the cross section of stock returns
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...
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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
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2020
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| 在線閱讀: | https://hdl.handle.net/10356/141518 |
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