Profitability, Value, and Stock Returns in Production‐Based Asset Pricing without Frictions
研究在无调整成本的生产型资产定价模型中，盈利能力、账面市值比和未来盈利前景变化如何决定公司层面的股票回报，并实证验证了理论预测。
Abstract In a production‐based asset pricing model without adjustment costs and with decreasing returns to scale following Brock (1982), stock returns at the firm level are determined by profitability, the book‐to‐market ratio, and the change in future profitability prospects. Although firms with low book‐to‐market ratios are normally more profitable and profitable firms are predicted to have higher returns, the stylized fact that book‐to‐market ratios positively forecast returns still holds theoretically, but with specific predicted exceptions. These implications are confirmed empirically.