Speaker: Lu Zhang, Professor of Finance, Max M. Fisher College of Business, the Ohio State University
Date: November 21 (Wednesday)
Location: Building 4 Room 101
In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and ex-pected profitability constant. This paper forms cross-sectional growth forecasts and constructs an expected growth factor that yields an average premium of 0.82% per month (t = 9.81). The q5 model, which adds the expected growth factor to the Hou-Xue-Zhang (2015) q-factor model, shows strong explanatory power in the cross section and outperforms the recently proposed Fama-French (2018) 6-factor model.
About the speaker:
Dr. Lu Zhang is The John W. Galbreath Chair, Professor of Finance, at Fisher College of Business, The Ohio State University, as well as Research Associate at National Bureau of Economic Research (Asset Pricing program) and Associate Editor for Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is Founding President of Macro Finance Society, which is an international academic society devoted to advancing and disseminating high-quality research at the intersection of financial economics and macroeconomics. Before joining Ohio State in 2010, he taught at Stephen M. Ross School of Business at University of Michigan and William E. Simon Graduate School of Business Administration at University of Rochester.