Rethinking Asset Growth in Asset Pricing Models
Measures of asset growth add considerable explanatory power to asset pricing models, but wait, there’s a twist. The formulation for measuring asset growth in risk [...]
Artificial intelligence, firm growth, and product innovation
AI-powered growth concentrates among larger firms and is associated with higher industry concentration. Our results highlight that new technologies like AI can contribute to growth and superstar firms through product innovation.
On the Persistence of Growth and Value Stocks
While analysts underwrite high growth for companies that have grown quickly and slow growth for companies that have grown slowly in the past, a large body of evidence demonstrates that reversion to the mean of both positive and negative abnormal earnings growth is the norm.
Is a quantitative defensive factor strategy feasible? Yes.
We examine the research around the question of what the proper framework for building a defensive factor strategy is.
Dissecting the Investment Factor
Investment predicts returns because, given expected profitability, high costs of capital imply low net present value of new capital and low investment, and low costs of capital imply high net present value of new capital and high investment.