Comments welcome ! Anomalies

@inproceedings{Zhang2005CommentsW,
  title={Comments welcome ! Anomalies},
  author={Lu Zhang},
  year={2005}
}
I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically to be qualitatively consistent with many anomalies, including the relations of future stock returns with market-to-book, investment and disinvestment, seasoned equity offerings, tender offers and stock… CONTINUE READING