NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Digesting Anomalies: An Investment Approach

Kewei Hou, Chen Xue, Lu Zhang

NBER Working Paper No. 18435
Issued in October 2012

---- Acknowledgements -----

For helpful comments, we thank René Stulz, MikeWeisbach, IngridWerner, and other seminar participants at The Ohio State University. This paper is a new incarnation of the defunct work previously circulated under the titles "Neoclassical Factors," "An equilibrium three-factor model," "Production-based factors," "A better three-factor model that explains more anomalies," and "An alternative three-factor model." We are extremely grateful to Robert Novy-Marx for identifying a timing error in the empirical analysis of the defunct work. All remaining errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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