G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4978
DP4978 Trade Costs and Location of Foreign Firms in China
Mary Amiti; Beata Javorcik
发表日期2005-03-23
出版年2005
语种英语
摘要This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a cross-section of long-lived firms distinguished by the timing of their cash flows. Firms with cash flows weighted more to the future have high price ratios, while firms with cash flows weighted more to the present have low price ratios. We model how investors perceive the risks of these cash flows by specifying a stochastic discount factor for the economy. The stochastic discount factor implies that shocks to aggregate dividends are priced, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks co-vary more with this time-varying price of risk than value stocks, which co-vary more with shocks to cash flows. When the model is calibrated to explain aggregate stock market behaviour, we find that it can also account for the observed value premium, the high Sharpe ratios on value stocks relative to growth stocks, and the out-performance of value (and underperformance of growth) relative to the CAPM.
主题Financial Economics
关键词Value Growth Duration Habit formation
URLhttps://cepr.org/publications/dp4978
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/533876
推荐引用方式
GB/T 7714
Mary Amiti,Beata Javorcik. DP4978 Trade Costs and Location of Foreign Firms in China. 2005.
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