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.