An Augmented q-Factor Model with Expected Growth [Abnormal returns to a fundamental analysis strategy]
研究发现，在投资理论中，预期投资增长高的公司比低的公司有更高预期收益，基于Tobin's q、经营现金流和净资产收益率变化构建的预期增长因子月均溢价0.84%，将其加入q因子模型后解释力强于Fama-French六因子模型。
In the investment theory, firms with high expected investment growth earn higher expected returns than firms with low expected investment growth, holding investment and expected profitability constant. Building on cross-sectional growth forecasts with Tobin’s q, operating cash flows, and change in return on equity as predictors, an expected growth factor earns an average premium of 0.84% per month (t = 10.27) in the 1967–2018 sample. The q5 model, which augments the Hou–Xue–Zhang (2015, Rev. Finan. Stud., 28, 650–705) q-factor model with the expected growth factor, shows strong explanatory power in the cross-section and outperforms the Fama–French (2018, J. Finan. Econom., 128, 234–252) six-factor model.