TY  - JOUR
AU  - Zhang,Lu
TI  - Anomalies
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11322
PY  - 2005
Y2  - May 2005
UR  - http://www.nber.org/papers/w11322
L1  - http://www.nber.org/papers/w11322.pdf
N1  - Author contact info:
Lu Zhang
Fisher College of Business
The Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 585-267-6250
E-Mail: zhanglu@fisher.osu.edu
AB  - 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.
ER  -