NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Anomalies

Lu Zhang

NBER Working Paper No. 11322
Issued in May 2005
NBER Program(s):   AP

I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically to be qualitatively consistent with many anomalies, including the relations of future stock returns with market-to-book, investment and disinvestment rates, seasoned equity offerings, tender offers and stock repurchases, dividend omissions and initiations, expected profitability, profitability, and more important, earnings announcement. The Q-framework also provides a new asset pricing test.

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Document Object Identifier (DOI): 10.3386/w11322

Published: Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(11), pages 4301-4334, November. citation courtesy of

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