Does the investment-profitability correlation affect the factor premiums? Evidence from China

Shan Chen; Xujun Liu; Tao Li

doi:10.1016/j.pacfin.2023.102012

Author(s)

Shan Chen
Xujun Liu
Tao Li

Related Research Unit(s)

Department of Economics and Finance

Detail(s)

Original language	English
Article number	102012
Journal / Publication	Pacific Basin Finance Journal
Volume	79
Online published	21 Mar 2023
Publication status	Published - Jun 2023

Link(s)

DOI	DOI https://doi.org/10.1016/j.pacfin.2023.102012 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-85151417537&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(dd460258-972b-408c-99a1-6a9b68f62655).html

Abstract

We investigate whether the investment-profitability correlation affects the investment and profitability premiums in the U.S. and Chinese markets. By replicating the results of Kilic, Yang and Zhang (2022), we confirm that the factor premiums are lower when the investment-profitability correlation is high in both markets. However, unlike the U.S. market, mitigating the correlation effect does not resurrect the insignificant investment premium in China. In contrast, the profitability factor earns robust returns under different specifications. © 2023 Elsevier B.V.

Research Area(s)

Chinese market, Cross-section of stock returns, Investment premium, Profitability premium

Citation Format(s)

[ RIS ] [ BibTeX ]

Does the investment-profitability correlation affect the factor premiums? Evidence from China. / Chen, Shan; Liu, Xujun; Li, Tao.
In: Pacific Basin Finance Journal, Vol. 79, 102012, 06.2023.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Chen, S, Liu, X & Li, T 2023, 'Does the investment-profitability correlation affect the factor premiums? Evidence from China', Pacific Basin Finance Journal, vol. 79, 102012. https://doi.org/10.1016/j.pacfin.2023.102012

Chen, S., Liu, X., & Li, T. (2023). Does the investment-profitability correlation affect the factor premiums? Evidence from China. Pacific Basin Finance Journal, 79, Article 102012. https://doi.org/10.1016/j.pacfin.2023.102012

Chen S, Liu X, Li T. Does the investment-profitability correlation affect the factor premiums? Evidence from China. Pacific Basin Finance Journal. 2023 Jun;79:102012. Epub 2023 Mar 21. doi: 10.1016/j.pacfin.2023.102012

Chen, Shan ; Liu, Xujun ; Li, Tao. / Does the investment-profitability correlation affect the factor premiums? Evidence from China. In: Pacific Basin Finance Journal. 2023 ; Vol. 79.