| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w30241 |
| 来源ID | Working Paper 30241 |
| Operating Hedge and Gross Profitability Premium | |
| Leonid Kogan; Jun Li; Harold Zhang | |
| 发表日期 | 2022-07-18 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We show theoretically that variable production costs lower systematic risk of firms’ cash flows if capital and variable inputs are complementary in firms’ production and input prices are pro-cyclical. In our dynamic model, this operating hedge effect is weaker for more profitable firms, giving rise to a gross profitability premium. Moreover, gross profitability and value factors are distinct and negatively correlated, and their premia are not captured by the CAPM. We estimate the model by the simulated method of moments, and find that its main implications for stock returns and cash flow dynamics are quantitatively consistent with the data. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w30241 |
| 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/587913 |
| 推荐引用方式 GB/T 7714 | Leonid Kogan,Jun Li,Harold Zhang. Operating Hedge and Gross Profitability Premium. 2022. |
| 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 | ||
| w30241.pdf（387KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
