TY  - JOUR
AU  - Chen,Long
AU  - Zhang,Lu
TI  - Neoclassical Factors
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13282
PY  - 2007
Y2  - July 2007
UR  - http://www.nber.org/papers/w13282
L1  - http://www.nber.org/papers/w13282.pdf
N1  - Author contact info:
Long Chen
212 Simon Hall
1 Olympian Way
John M. Olin Business School
Washington University in St. Louis
St. Louis MO 63130
Tel: 517-353-2955
Fax: 517-432-1080
E-Mail: lchen29@wustl.edu

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  - Building on neoclassical reasoning, we propose a new multi-factor model that consists of the market factor and factor mimicking portfolios based on investment and productivity. The neo- classical three-factor model outperforms traditional factor models in explaining the average returns across testing portfolios formed on momentum, financial distress, investment, profitability, accruals, net stock issues, earnings surprises, and asset growth. Most intriguingly, winners have higher loadings than losers on both the low-minus-high investment factor and the high- minus-low productivity factor, which in turn help explain momentum profits.
ER  -