| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089754 | Journal of Banking & Finance | 2012 | 11 Pages |
Abstract
⺠We test if an existing pricing model can explain the investment growth anomaly. ⺠We consider both unconditional and conditional model settings. ⺠We find that the conditional Fama-French 3-factor model can explain the anomaly. ⺠The model allows factor loadings to be time-varying. ⺠Factor loadings are also linked to firm characteristics and the business cycle.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Wikrom Prombutr, Chanwit Phengpis, Ying Zhang,