Profitability and the Cross-Section of Stock Returns

DOI

10.2991/978-94-6463-368-9_100How to use a DOI?

Keywords

Cross-section of the stock returns; Capital asset pricing model; Fama-French 3 factors model; Fama-French 5 factors model

Abstract

The purpose of this essay is to determine that whether the profitability of firms is effective on abnormal returns. After using Fama and French 3-factor model, Capital asset pricing model and Fama and French 5-factor model to analyst the cross-section of the stock returns, I found that profitable firms do generate more abnormal returns than less profitable firms.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Dongshuo Jia
PY  - 2024
DA  - 2024/02/14
TI  - Profitability and the Cross-Section of Stock Returns
BT  - Proceedings of the 2023 5th International Conference on Economic Management and Cultural Industry (ICEMCI 2023)
PB  - Atlantis Press
SP  - 863
EP  - 868
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-368-9_100
DO  - 10.2991/978-94-6463-368-9_100
ID  - Jia2024
ER  -