Productivity-based asset pricing: Theory and evidence

• 成果类型: Article
• 署名作者: Balvers, Ronald J.; Huang, Dayong
• 署名单位: West Virginia University; Gustavus Adolphus College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.09.004
• 发表日期: 2007
• 页码: 405-445
• 关键词: cross-sectional asset pricing; PRODUCTIVITY; macro factors; Production-based asset pricing; conditional asset pricing

摘要

In a general real business cycle model, we derive a pricing kernel that involves only production function arguments. The productivity shock is the single factor and the capital stock relative to a productivity measure is the conditioning variable. The model compares favorably with the complementary consumption-based and market-based approaches and with the Fama-French three-factor model. A size premium arises from differences in unconditional sensitivities-small firms are more sensitive to productivity shocks-and a value premium from differences in conditional sensitivities to productivity shocks-growth firms are more sensitive to productivity shocks when the productivity risk premium is low. (c) 2007 Elsevier B.V. All rights reserved.