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- Title
The Q-Theory Model: Evidence from the U.S. Market and non-U.S. Markets.
- Authors
PROMBUTR, WIKROM; LOCKWOOD, LARRY; SABHERWAL, SANJIV
- Abstract
We examine the ability of an investment-based asset pricing model, q-theory, to explain the cross-section of stock returns for U.S. and non-U.S. markets. We conduct tests of the model's ability to explain asset-pricing anomalies associated with momentum and asset growth and find that the q-theory model outperforms the Fama-French three-factor model in the U.S. and beyond. The results support the use of q-theory to obtain returns for application to stock valuation, portfolio performance evaluation and capital budgeting decisions.
- Subjects
VALUATION of corporations; PORTFOLIO performance; CAPITAL budget; VALUATION; EXPECTED returns; ASSETS (Accounting)
- Publication
Quarterly Journal of Finance & Accounting, 2020, Vol 58, Issue 4, p1
- ISSN
1939-8123
- Publication type
Article