Equilibrium cross section of returns

• 成果类型: Article
• 署名作者: Gomes, J; Kogan, L; Zhang, L
• 署名单位: University of Pennsylvania; Massachusetts Institute of Technology (MIT); University of Rochester
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/375379
• 发表日期: 2003
• 页码: 693-732
• 关键词: BOOK-TO-MARKET; risk-factors; firm growth; size; INVESTMENT; MODEL; consumption; CRITIQUE; premia; prices

摘要

We construct a dynamic general equilibrium production economy to explicitly link expected stock returns to firm characteristics such as firm size and the book-to-market ratio. Stock returns in the model are completely characterized by a conditional capital asset pricing model (CAPM). Size and book-to-market are correlated with the true conditional market beta and therefore appear to predict stock returns. The cross-sectional relations between firm characteristics and returns can subsist even after one controls for typical empirical estimates of beta. These findings suggest that the empirical success of size and book-to-market can be consistent with a single-factor conditional CAPM model.