Investment‐Based Expected Stock Returns
推导并检验了q理论对横截面股票收益的含义，发现杠杆投资回报与公司特征直接相关，模型能捕捉按盈余意外、账面市值比和资本投资分组的投资组合的平均收益，但预期收益误差较大。
We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use generalized method of moments to match average levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return variances simultaneously, the variances predicted in the model are largely comparable to those observed in the data. However, the resulting expected return errors are large. I.