| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17975 |
| 来源ID | Working Paper 17975 |
| A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks | |
| Leonid Kogan; Dimitris Papanikolaou | |
| 发表日期 | 2012-04-05 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We provide a theoretical model linking firm characteristics and expected returns. The key ingredient of our model is technological shocks embodied in new capital (IST shocks), which affect the profitability of new investments. Firms' exposure to IST shocks is endogenously determined by the fraction of firm value due to growth opportunities. In our structural model, several firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of stock returns - help predict the share of growth opportunities in the firm's market value, and are therefore correlated with the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by firm characteristics; ii) the comovement of stock returns on firms with similar characteristics; iii) the failure of the CAPM to price portfolio returns of firms sorted on characteristics; iv) the time-series predictability of market portfolio returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend strips. Our model delivers testable predictions about the behavior of firm-level real variables - investment and output growth - that are supported by the data. |
| 主题 | Macroeconomics ; Consumption and Investment ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17975 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575651 |
| 推荐引用方式 GB/T 7714 | Leonid Kogan,Dimitris Papanikolaou. A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17975.pdf（567KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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