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

成長機會，技術沖擊與資産價格

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

摘要：本文考察了投資專有技術沖擊對于股票橫截面回報的影響。使用結構化模型，我們發現投資專有技術沖擊對于現有資産的價值和公司成長機會價值的有着不同的影響。這種對于投資專有技術沖擊敏感性的差異有兩個啟示：首先，公司的風險溢價取決于公司成長機會對于公司價值的貢獻；其次，有着相近成長機會的公司之間存在相關性。這使得價值因素得以解釋股票收益率，并且導緻了傳統CAPM模型的失敗，我們的實證結果證實了模型的預測。

關鍵詞：投資專有技術沖擊，成長機會，資産回報

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

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12136/pdf

翻譯：殷曼琳