Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

• 成果类型: Article
• 署名作者: Kogan, Leonid; Papanikolaou, Dimitris
• 署名单位: National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht026
• 发表日期: 2013
• 页码: 2718
• 关键词: ASSET PRICE DYNAMICS; cross-section; GROWTH OPTIONS; corporate-investment; RISK; equilibrium; explanation; habit

摘要

Average return differences among firms sorted on valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firms to the same systematic factor related to embodied technology shocks. Using a calibrated structural model, we show that these firm characteristics are correlated with the ratio of growth opportunities to firm value, which affects firms' exposures to capital-embodied productivity shocks and risk premia. We thus provide a unified explanation for several apparent anomalies in the cross-section of stock returns-namely, predictability of returns by these firm characteristics and return comovement among firms with similar characteristics.