Learning and the capital age premium *

• 成果类型: Article
• 署名作者: Li, Kai; Tsou, Chi-Yang; Xu, Chenjie
• 署名单位: Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University; University of Manchester; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.02.001
• 发表日期: 2023
• 页码: 76-90
• 关键词: Learning; Capital age; Cross-section of expected returns; Capital misallocation; Cash flow duration

摘要

Imperfect information and learning are introduced into a production-based asset pricing model. Our model features slow learning about firms' exposure to aggregate productivity shocks over time. In contrast to a full information case, our framework provides a unified explanation for the stylized empirical features of the cross-section of stocks that differ in capital age: old capital firms (1) have higher capital allocation efficiency; (2) are more ex-posed to aggregate productivity shocks and, hence, earn higher expected returns, which we refer to as capital age premium; and (3) have shorter cash-flow duration, when compared with young capital firms.(c) 2023 Elsevier B.V. All rights reserved.