Do the Investment and Return-on-Equity Factors Proxy for Economic Risks?

Material TypeArticleLanguageEnglish
TitleDo the Investment and Return-on-Equity Factors Proxy for Economic Risks? Author(S)Zijun Wang (Author)
Abstract  We study the information content of two new return factors, the investment factor (IA) and the return-on-equity factor (ROE), as proposed by Chen, Novy-Marx, and Zhang in 2011. First, IA is a strong predictor for future gross domestic product (GDP) growth despite the presence of other financial and economic variables. ...Paginationp 183-210
SubjectManagementDescriptorsFinance
Journal TitleFinancial management  
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