Investment-Based Expected Stock Returns

被引:220
作者
Liu, Laura Xiaolei [1 ]
Whited, Toni M. [2 ]
Zhang, Lu [3 ,4 ]
机构
[1] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China
[2] Univ Rochester, Rochester, NY 14627 USA
[3] Univ Michigan, Ann Arbor, MI 48109 USA
[4] Natl Bur Econ Res, Cambridge, MA 02138 USA
关键词
CROSS-SECTIONAL TEST; EFFICIENCY; DEMAND; MODEL; DEBT;
D O I
10.1086/649760
中图分类号
F [经济];
学科分类号
02 ;
摘要
We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use generalized method of moments to match average levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return variances simultaneously, the variances predicted in the model are largely comparable to those observed in the data. However, the resulting expected return errors are large.
引用
收藏
页码:1105 / 1139
页数:35
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