THE JOURNAL OF FINANCE ·VOL. LXIX, NO. 2 · APRIL 2014

成长机会，技术冲击与资产价格

作者：LEONID KOGAN (MIT - Sloan School of Management), DIMITRIS PAPANIKOLAOU (Northwestern University-Kellogg School of Management)

摘要：本文考察了投资专有技术冲击对于股票横截面回报的影响。使用结构化模型，我们发现投资专有技术冲击对于现有资产的价值和公司成长机会价值的有着不同的影响。这种对于投资专有技术冲击敏感性的差异有两个启示：首先，公司的风险溢价取决于公司成长机会对于公司价值的贡献；其次，有着相近成长机会的公司之间存在相关性。这使得价值因素得以解释股票收益率，并且导致了传统CAPM模型的失败，我们的实证结果证实了模型的预测。

关键词：投资专有技术冲击，成长机会，资产回报

Growth Opportunities, Technology Shocks, and Asset Prices

LEONID KOGAN (MIT - Sloan School of Management), DIMITRIS PAPANIKOLAOU (Northwestern University-Kellogg School of Management)

ABSTRACT: We explore the impact of investment-specific technology (IST) shocks on the cross section of stock returns. Using a structural model, we show that IST shocks have a differential effect on the value of assets in place and the value of growth opportunities. This differential sensitivity to IST shocks has two main implications. First, firm risk premia depend on the contribution of growth opportunities to firm value. Second, firms with similar levels of growth opportunities comove with each other, giving rise to the value factor in stock returns and the failure of the conditional CAPM. Our empirical tests confirm the model's predictions.

Keywords: IST, Growth Opportunity, Asset Returns

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12136/pdf

翻译：殷曼琳