Growth Opportunities, Technology Shocks, and Asset Prices
研究了投资专用技术冲击如何影响股票收益的横截面，发现这类冲击对现有资产和增长机会的价值影响不同，进而影响风险溢价并导致价值因子出现。
ABSTRACT We explore the impact of investment‐specific technology (IST) shocks on the cross section of stock returns. Using a structural model, we show that IST shocks have a differential effect on the value of assets in place and the value of growth opportunities. This differential sensitivity to IST shocks has two main implications. First, firm risk premia depend on the contribution of growth opportunities to firm value. Second, firms with similar levels of growth opportunities comove with each other, giving rise to the value factor in stock returns and the failure of the conditional CAPM. Our empirical tests confirm the model's predictions.