The q-Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides*

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 131
  • Download : 0
We examine whether the q-factors-the investment factor (INV) and the return-on-equity factor (ROE)-are related to the macroeconomy. We find reliable evidence that returns on INV are positively related to future economic growth. When conditioning on good and bad states of the business cycle, we show that returns on INV are significantly higher during good states than bad states. We also find that the conditioning effect of economic conditions on INV is asymmetric between long and short sides of INV. On the other hand, we find that returns on ROE are negatively associated with future aggregate earnings change. The relations remain robust even in the presence of business cycle variables and after controlling for the book-to-market effect.
Publisher
WILEY
Issue Date
2020-12
Language
English
Article Type
Article
Citation

INTERNATIONAL REVIEW OF FINANCE, v.20, no.4, pp.897 - 921

ISSN
1369-412X
DOI
10.1111/irfi.12250
URI
http://hdl.handle.net/10203/278936
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0