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

創造性破壞與資産定價

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

摘要：我們将熊彼特的創造性破壞概念與資産定價聯系起來，從而提供一個關于規模和價值溢價的新解釋。我們認為，低價值公司為了補償意外的發明活動帶來的風險，必須提供更高的預期回報，而高增長的股票可以為創造性破壞提供保護和獲得預期的回報折扣。一個考慮到創造性破壞風險的二因素模型，有效地解釋了按規模和按賬面市值比分組的投資組合的橫截面收益變化。與創造性破壞相關的估計風險補償具有實質和統計意義上的顯著性，表明了其與資産定價的聯系。

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.

原文鍊接：

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

翻譯：熊進宗