Journal of Financial and Quantitative Analysis · Volume 51, Issue 6 December 2016, pp. 1739-1768

创造性破坏与资产定价

作者：Joachim Grammig (University of Tübingen and Centre for Financial Research), Stephan Jank (Frankfurt School of Finance and Management)

摘要：我们将熊彼特的创造性破坏概念与资产定价联系起来，从而提供一个关于规模和价值溢价的新解释。我们认为，低价值公司为了补偿意外的发明活动带来的风险，必须提供更高的预期回报，而高增长的股票可以为创造性破坏提供保护和获得预期的回报折扣。一个考虑到创造性破坏风险的二因素模型，有效地解释了按规模和按账面市值比分组的投资组合的横截面收益变化。与创造性破坏相关的估计风险补偿具有实质和统计意义上的显著性，表明了其与资产定价的联系。

Creative Destruction and Asset Prices

Joachim Grammig (University of Tübingen and Centre for Financial Research), Stephan Jank (Frankfurt School of Finance and Management)

ABSTRACT

We relate Schumpeter’s notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms must offer higher expected returns to compensate for the risk posed by serendipitous invention activity, whereas large-growth stocks provide protection against creative destruction and receive expected return discounts. A 2-factor model that accounts for creative-destruction risk effectively explains the cross-sectional return variation of size- and book-to-market-sorted portfolios. The estimated risk compensations associated with creative destruction are substantial and statistically significant, indicating their relevance for asset pricing.

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/div-classtitlecreative-destruction-and-asset-pricesdiv/878899B4A20762BDA309C582BE92D4FF

翻译：熊进宗