Manufacturing and the q-factor pricing model
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School of Business |
Master's thesis
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Authors
Date
2021
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
71+2
Series
Abstract
This thesis looks at the differences between the q-factor asset pricing model (Hou, Xue, and Zhang, 2015) factors constructed from manufacturing sector stocks and the factors created from the non-manufacturing stocks. The differences between the corresponding factors were tested with the paired sample t-test. The differences between the market, the size, and the investment factors were not found to be statistically significant at any reasonable level, neither in the shorter sample 1992-2019, nor in the longer period 1967-2019, which was used as a robustness check. The profitability factor created from the manufacturing stocks had on average lower returns than that created from the non-manufacturing stocks. This difference was statistically significant at 5% level in the short sample, but it was not significant during the longer sample period.Description
Thesis advisor
Suominen, MattiKeywords
q-factor model, manufacturing, investment factor, profitability factor, asset pricing model, stock pricing