Multifactor Model of Growth and Z Score for Projecting Stock Return and Evaluating Risk
40 Pages Posted: 4 Oct 2001
A growing body of literature has examined and noted significant anomalies in the form of empirical regularities in stock return. These phenomena contradict the well-established paradigms of finance and puzzled many financial researchers. To contribute toward this field of study, this paper seeks to investigate two anomalies, namely, Z score and sales growth effects, in the United States equity market. Applying the time-series regressions, the findings of the analysis provide evidences that these two anomaly-variables exist in the US securities market. As implication of this study, the three factors (market, Z score and sales growth) can be used to guide portfolio selection.
Keywords: Stock return, risk, multifactor, sales growth, Z-score, CAPM
Suggested Citation: Suggested Citation