Lu Zhang from the University of Michigan is giving a VGSF research seminar
on "Regularities" on FRIDAY, April 27th, from 15:30 to 17:00 in HS 7 at the
BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events
--> Research Seminars) for a map of the location, the paper to download and
this term's entire schedule of seminars.
Please find the paper's abstract below. Lu is going to be in Vienna for the
ENTIRE WEEK. He would be very happy to discuss research with the local
faculty. Please contact Michael Halling if you are interested and would like
to take advantage of this opportunity.
Best,
Michael Halling
Abstract
The neoclassical q-theory provides a good start to understanding the cross
section of returns. Under constant return to scale stock returns equal
levered investment returns, which are tied directly to firm characteristics.
This equation predicts the empirical relations of average returns with
book-to-market, investment, and earnings surprises. We estimate the model
via GMM by minimizing the differences between average stock returns and
average levered investment returns. Our model captures the average return
patterns in portfolios sorted on capital investment and double-sorted on
size and book-to-market, including the small-stock value premium. The model
also partially captures post-earnings-announcement drift and its higher
magnitude in small firms.