The use of asset growth in empirical asset pricing models

• 成果类型: Article
• 署名作者: Cooper, Michael; Gulen, Huseyin; Ion, Mihai
• 署名单位: Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; University of Arizona
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103746
• 发表日期: 2024
• 关键词: Anomalies; factor model; ASSET GROWTH; INVESTMENT; The q-factor model; Dividend discount model; Overextrapolation

摘要

We show that the performance of the new factor models of Hou et al. (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is constructed using traditional investment measures, or measures that also account for investment in intangibles. In contrast, we find that factors based on growth in inventory and accounts receivable contain the bulk of the pricing information in the asset growth factor. We show evidence that the superior performance of the asset growth factor seems to be attributable to its ability to capture aggregate shocks to equity financing costs.