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论文:Tai-Yong Roh,International Review of Finance 2018,The q‐Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides
2019-07-16 10:50  

 

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

Byoung‐Kyu Min           Jangkoo Kang           Changjun Lee           Tai‐Yong Roh

 

 

Abstract

       

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.

 

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