Estimating and testing investment-based asset pricing models

• 成果类型: Article
• 署名作者: Belo, Frederico; Deng, Yao; Salomao, Juliana
• 署名单位: INSEAD Business School; University of Connecticut; University of Minnesota System; University of Minnesota Twin Cities; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103945
• 发表日期: 2024
• 关键词: Asset pricing; Q-theory; Neoclassical investment; structural estimation

摘要

Investment-based asset pricing models typically predict a close link between a firm's stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time- series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of investment-based models with one physical capital input fail to match the time series properties of stock returns in the data, and discuss the implications of the findings for future research.