Can Momentum and Other Risk Factors Predict Capital Investiment Growth?

Eric Fricke ； Scott Fung

《Advances in Financial Planning and Forecasting》 5期 (2012/12) Pp. 231-257

https://doi.org/10.6292/AFPF.2012.05.10

並列摘要

Asset pricing factors should not only predict stock returns, but also link to economic risk. For the size, value and liquidity factors, previous studies have established these links, but for momentum the results have been inconclusive. This paper investigates the potential economic risk in momentum by linking the momentum factor to economic activity as measured by capital investment growth. Our results support a risk-based argument for momentum as momentum is related to investment growth but independent of the term premium, default premium, dividend yield, and risk-free rate. Moreover, the sensitivity of investment to momentum is dependent on firm size, information asymmetries and debt levels. We also find evidence that investment sensitivity to the liquidity factor is dependent on firm size and information asymmetries.

並列關鍵字

Stock Returns ； Corporate Investment ； Risk Factors ； Momentum

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