Growth Opportunities, Technology Shocks, and Asset Prices

• 成果类型: Article
• 署名作者: Kogan, Leonid; Papanikolaou, Dimitris
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12136
• 发表日期: 2014
• 页码: 675-718
• 关键词: cross-section; Optimal investment; marginal-q; MODEL; returns

摘要

We explore the impact of investment-specific technology (IST) shocks on the cross section of stock returns. Using a structural model, we show that IST shocks have a differential effect on the value of assets in place and the value of growth opportunities. This differential sensitivity to IST shocks has two main implications. First, firm risk premia depend on the contribution of growth opportunities to firm value. Second, firms with similar levels of growth opportunities comove with each other, giving rise to the value factor in stock returns and the failure of the conditional CAPM. Our empirical tests confirm the model's predictions.