Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
研究发现，按估值比率、过去投资、盈利能力、市场贝塔或异质波动率分类的企业平均回报差异，主要由它们对同一系统性因素（体现技术冲击）的不同暴露程度驱动，为多个股票回报异常提供了统一解释。
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, we show that these firm characteristics are correlated with the ratio of growth opportunities to firm value, which affects firms' exposures to capital-embodied productivity shocks and risk premia. We thus provide a unified explanation for several apparent anomalies in the cross-section of stock returns—namely, predictability of returns by these firm characteristics and return comovement among firms with similar characteristics.