Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
Average return differences among firms sorted on valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firms to the same systematic factor related to embodied technology shocks. Using a calibrated structural model...
| Main Authors: | , |
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| Format: | Article |
| Language: | en_US |
| Published: |
Oxford University Press
2014
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| Online Access: | http://hdl.handle.net/1721.1/87762 https://orcid.org/0000-0001-9387-9728 |