Investment and the Cross‐Section of Equity Returns
研究发现，大型上市公司在遭遇不利盈利冲击时，可以通过剥离低效资产来降低股东风险，从而减少股东要求的回报。基于投资事实调整资本调整摩擦后，模型生成的收益横截面离散度远低于实际数据。
ABSTRACT The data show that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets, reducing the risk faced by shareholders and the returns that they are likely to demand. In the one‐factor production‐based asset pricing model, when the frictions to capital adjustment are shaped to respect the evidence on investment, the model‐generated cross‐sectional dispersion of returns is only a small fraction of that documented in the data. Our conclusions hold even when operating or labor leverage is modeled in ways shown to be promising in the extant literature.