主题：The Economics of Value Investing（价值投资中的经济学）
The investment CAPM provides an economic foundation for Graham and Dodd’s (1934) Security Analysis, without mispricing. Expected returns vary cross-sectionally, depending on firms’ investment, expected profitability, and expected investment growth. Our economic model also offers an appealing alternative to two workhorse accounting models. Empirically, many anomaly variables are associated with future investment growth, in the same direction with future returns. An expected growth factor earns on average 0.56% per month (t = 6.66), and adding it to the q-factor model improves the model’s performance substantially. In all, value investing is consistent with efficient markets.
Lu Zhang holds the The John W. Galbreath Chair Professor of Finance at the Ohio State University. He received a Ph.D. in Finance from the Wharton School, University of Pennsylvania in 2002. 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. Professor Zhang’s research interests include asset pricing, corporate finance, labor economics, and capital markets research in accounting. He has articles published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Accounting Research, and Journal of Political Economy among others.