Journal of Financial Economics·Volume 126, Issue 3·December 2017

资本利用率，市场力量和投资冲击的定价

作者：Lorenzo Garlappi（Sauder School of Business, University of British Columbia）

Zhongzhi Song（Cheung Kong Graduate School of Business）

摘要：资本利用率和市场力量对于受到冲击的经济体系中的资产价格至关重要，它们通过资本体现的技术创新提高了实际投资机会。我们将这两种机制嵌入到一个标准的一般均衡模型中，并且表明（i）在固定资本利用下，投资冲击的风险价格为负，而在足够灵活的资本利用率下为正，（ii）在完全竞争下暴露在投资冲击下的股票回报是负的，而在高市场力量下是正的。我们进一步表明，高的市场力量，持续的技术成长因素和早期解决不确定性的强烈偏好对于定量匹配观察到的股权风险溢价是非常重要的。

关键词：投资冲击，资本利用，市场力量，风险溢价

Capital utilization, market power, and the pricing of investment shocks

Lorenzo Garlappi（Sauder School of Business, University of British Columbia）

Zhongzhi Song（Cheung Kong Graduate School of Business）

ABSTRACT

Capital utilization and market power crucially affect asset prices in an economy exposed to shocks that improve real investment opportunities through capital-embodied technological innovations. We embed these two mechanisms in a standard general equilibrium model and show that (i) the price of risk for investment shocks is negative under fixed capital utilization, but positive under sufficiently flexible capital utilization, and (ii) the equity return exposure to investment shocks is negative under perfect competition, but positive under high market power. We further show that, high market power, persistent components in technology growth, and a strong preference for early resolution of uncertainty are jointly important to quantitatively match the observed equity risk premium.

Keywords：Investment shocks, Capital utilization, Market power, Risk premium

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X17302313#!

翻译：何杉