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Quantity, Risk, and Return
Quantity, Risk, and Return
Quantity, Risk, and Return
Quantity, Risk, and Return
2Jun
Finance

Quantity, Risk, and Return

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Speaker:

Professor Yinan Su
Assistant Professor in Finance
Carey Business School
Johns Hopkins University

Abstract:

We propose a new model of expected stock returns that incorporates quantity information from market trading activities into the factor pricing framework. We posit that the expected return of a stock is determined by not only its factor risk exposures (β) but also the factor’s quantity fluctuations (q) induced by noise trading flows, and hence term the model beta times quantity (BTQ). The rationale is that a factor’s premium should be higher when sophisticated investors have absorbed flows of stocks with high exposure to that factor. The BTQ model provides a compelling risk-based explanation for stock returns, which is otherwise obscured without considering the quantity information. The cross-sectional riskreturn association, which is nearly flat unconditionally, strongly depends on the quantity variable. The structured BTQ model reliably predicts monthly stock returns out of sample, and addresses the factor zoo problem by selecting a small number of factors.

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Quantity, Risk, and Return
About Speaker
Yinan Su

Assistant Professor in Finance | Carey Business School | Johns Hopkins University

Quantity, Risk, and Return
2 June 2025
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