Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

• 成果类型: Article
• 署名作者: Ai, Hengjie; Croce, Mariano Massimiliano; Li, Kai
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of North Carolina; University of North Carolina Chapel Hill; Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs121
• 发表日期: 2013
• 页码: 491
• 关键词: cross-section; long-run; equity premium; CASH-FLOW; RISK; consumption; INVESTMENT; RESOLUTION; returns

摘要

We model investment options as intangible capital in a production economy in which younger vintages of assets in place have lower exposure to aggregate productivity risk. In equilibrium, physical capital requires a substantially higher expected return than intangible capital. Quantitatively, our model rationalizes a significant share of the observed difference in the average return of book-to-market-sorted portfolios (value premium). Our economy also produces (1) a high premium of the aggregate stock market over the risk-free interest rate, (2) a low and smooth risk-free interest rate, and (3) key features of the consumption and investment dynamics in the U.S. data.