The profitability and investment premium: Pre-1963 evidence

• 成果类型: Article
• 署名作者: Wahal, Sunil
• 署名单位: Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.09.007
• 发表日期: 2019
• 页码: 362-377
• 关键词: Asset pricing; Multifactor models; Dividend discount model; profitability; INVESTMENT

摘要

I investigate the profitability and investment premium in stock returns using hand collected data from Moody's Manuals for 1940-1963. Controlling for value, the profitability premium emerges as important in this period. In contrast, there is no reliable relation between investment and returns, regardless of whether investment is measured using growth in total assets or book equity and even after extending the data back to 1926. In spanning regressions, factors constructed from profitability and book-to-market ratios (RMW and HML, respectively) improve the mean-variance efficient tangency portfolio but the investment factor (CMA) does not. (C) 2018 Elsevier B.V. All rights reserved.