Do the Investment and Return‐on‐Equity Factors Proxy for Economic Risks?
研究了投资因子(IA)和净资产收益率因子(ROE)的信息含量，发现IA能预测GDP增长并吸收GDP因子的定价能力，而ROE与股息率和期限利差创新相关，在加入状态变量后失去解释力。
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. IA subsumes the pricing power of the GDP factor for the cross section of asset returns. Second, ROE is closely related to innovations in dividend yield and term spread. When modeled together with innovations in state variables that forecast future investment opportunities, IA and ROE lose their explanatory power.