Multifactor Model of Growth and Z Score for Projecting Stock Return and Evaluating Risk

40 Pages Posted: 4 Oct 2001

See all articles by Kangmao Wang

Kangmao Wang

Zhejiang University - School of Business Administration

Abstract

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

Wang, Kangmao, Multifactor Model of Growth and Z Score for Projecting Stock Return and Evaluating Risk. Available at SSRN: https://ssrn.com/abstract=286174 or http://dx.doi.org/10.2139/ssrn.286174

Kangmao Wang (Contact Author)

Zhejiang University - School of Business Administration ( email )

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Hangzhou 310027
China
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