The 52-week high, q-theory, and the cross section of stock returns

• 成果类型: Article
• 署名作者: George, Thomas J.; Hwang, Chuan-Yang; Li, Yuan
• 署名单位: University of Houston System; University of Houston; Nanyang Technological University; Aarhus University; Danish Finance Institute
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.01.005
• 发表日期: 2018
• 页码: 148-163
• 关键词: 52-week high; q-factor model; anomalies; profitability; Investment growth

摘要

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 significantly positive, and they mirror PTH's relation with future returns in the cross section and by time horizons. Incorporating the information about future investment growth contained in price level variables (e.g., PTH) helps the q factors to capture better those anomalies rooted in future investment growth. Together, these results suggest that the PTH anomaly is consistent with the investment capital asset pricing model. (C) 2018 Elsevier B.V. All rights reserved.