Investment and the Cross-Section of Equity Returns

• 成果类型: Article
• 署名作者: Clementi, Gian Luca; Palazzo, Berardino
• 署名单位: New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12730
• 发表日期: 2019
• 页码: 281-321
• 关键词: ASSET SALES; shocks; MODEL; RISK

摘要

The data show that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets, reducing the risk faced by shareholders and the returns that they are likely to demand. In the one-factor production-based asset pricing model, when the frictions to capital adjustment are shaped to respect the evidence on investment, the model-generated cross-sectional dispersion of returns is only a small fraction of that documented in the data. Our conclusions hold even when operating or labor leverage is modeled in ways shown to be promising in the extant literature.