A Cross-Sectional Test of an Investment-Based Asset Pricing Model
检验了一个基于实物投资回报的因子定价模型，发现该模型能解释股票预期收益的横截面和时间序列变化，表现与CAPM等模型相当，优于简单消费模型。
The author examines a factor pricing model for stock returns. The factors are returns on physical investment, inferred from investment data via a production function. The author examines the model's ability to explain variation in expected returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll, and Ross (1986) factor model, and it performs substantially better than a simple consumption-based model. The author also provides an easy technique for estimating and testing dynamic, conditional asset pricing models--one simply includes factors and returns scaled by instruments in an unconditional estimate--and for comparing such models. Copyright 1996 by University of Chicago Press.