Aggregation, Capital Heterogeneity, and the Investment CAPM

• 成果类型: Article
• 署名作者: Goncalves, Andrei S.; Xue, Chen; Zhang, Lu
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University System of Ohio; University of Cincinnati; University System of Ohio; Ohio State University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz091
• 发表日期: 2020
• 页码: 2728
• 关键词: cross-section; returns; GROWTH; STATES; COSTS

摘要

A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fundamental return correlations, the procyclical and short-term dynamics of the momentum and profitability premiums, and the countercyclical and long-term dynamics of the value and investment premiums. However, the model falls short in explaining momentum crashes.