Manufacturing and the q-factor pricing model

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.