作者：Gomes, J; Kogan, L; Zhang, L
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT); University of Rochester
摘要：We construct a dynamic general equilibrium production economy to explicitly link expected stock returns to firm characteristics such as firm size and the book-to-market ratio. Stock returns in the model are completely characterized by a conditional capital asset pricing model (CAPM). Size and book-to-market are correlated with the true conditional market beta and therefore appear to predict stock returns. The cross-sectional relations between firm characteristics and returns can subsist even a...
