Firm-Level Productivity, Risk, and Return

• 成果类型: Article
• 署名作者: Imrohoroglu, Ayse; Tuezel, Selale
• 署名单位: University of Southern California
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1852
• 发表日期: 2014
• 页码: 2073-2090
• 关键词: firm-level productivity; Cross section of returns

摘要

This paper provides new evidence about the link between firm-level total factor productivity (TFP) and stock returns. We estimate firm-level TFP and show that it is strongly related to several firm characteristics such as size, the book-to-market ratio, investment, and hiring rate. Low productivity firms earn a significant premium over high productivity firms in the following year, and this premium is countercyclical. We show that a production-based asset pricing model calibrated to match the cross section of measured firm-level TFPs can replicate the empirical relationship between TFP, many firm characteristics, and stock returns. Our results offer an explanation as to how these firm characteristics rationally predict returns.