The Relationship Between Asset Growth and the Cross-Section of Stock Returns
“Over the 1983-2007 period, an equally-weighted portfolio of low-growth stocks outperforms a portfolio of high-growth stocks by an average 2.25% per month, equating to 30.6% per annum.”
AssetEquitiessingle stocks
StrategyValue investingmomentum
TechniqueLinear factor model
GeographyGlobalUS
Also stated: 1983–2007, Excess return, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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