A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

摘要: We provide a theoretical model linking firm characteristics and expected returns. The key ingredient of our is technological shocks embodied in new capital (IST shocks), which affect the profitability investments. Firms' exposure to IST endogenously determined by fraction value due growth opportunities. In structural model, several - Tobin's Q, past investment, earnings-price ratios, market betas, idiosyncratic volatility stock returns help predict share opportunities firm's value, are therefore correlated with risk premia. Our calibrated replicates: i) predictability characteristics; ii) comovement on firms similar iii) failure CAPM price portfolio sorted iv) time-series aggregate investment valuation ratios; v) downward sloping term structure premia for dividend strips. delivers testable predictions about behavior firm-level real variables output that supported data.