Can Investment Shocks Explain the Cross Section of Equity Returns?
用两种宏观和一种收益衡量的投资技术冲击，发现1964-2012年间这些冲击无法解释基于账面市值比、动量等因子的横截面收益差异，仅一种宏观指标在1930-2012年能解释部分价值溢价。
Using two macro-based measures and one return-based measure of investment-specific technology (IST) shocks, we find that over the 1964–2012 period, exposure to IST shocks cannot explain cross-sectional return spreads based on book-to-market, momentum, asset growth, net share issues, accrual, and price-to-earnings ratio. Only one of the two macro-based measures can explain a sizable portion of the value premium over the longer 1930–2012 period. We also find that the IST risk premium estimates are sensitive to the sample period, the data frequency, the test assets, and the econometric model specification. Impulse responses of aggregate investment and consumption indicate potential measurement problems in IST proxies, which may contribute to the sensitivity of IST risk premium estimates and the failure of IST shocks to explain cross-sectional returns. This paper was accepted by Neng Wang, finance.