Do Investment-Based Models Explain Equity Returns? Evidence from Euler Equations
成果类型：
Article
署名作者：
Delikouras, Stefanos; Dittmar, Robert F.
署名单位：
University of Miami; University of Michigan System; University of Michigan
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhab099
发表日期：
2022
页码：
3823
关键词：
摘要：
We investigate the empirical implications of the investment-based model of asset pricing for the Hansen-Jagannathan and Kozak-Nagel-Santosh discount factors in the linear span of equity returns. We find that the stochastic discount factors satisfying the Euler equation for equity returns cannot satisfy the Euler equation for investment returns because returns on corporate investment covary inversely with the sources of equity risk relative to returns on equity. As a result, the model fails to replicate the level of the risk premium. Our results suggest that joint restrictions on the optimality of investment and consumption pose stringent conditions for candidate production models.