Aggregation, Capital Heterogeneity, and the Investment CAPM
通过细致处理加总和资本异质性，投资CAPM能同时拟合价值、动量、投资和盈利溢价，并解释股票回报与基本面相关的动态特征，但对动量崩溃解释不足。
Abstract A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model simultaneously fits the value, momentum, investment, and profitability premiums and partially explains positive stock-fundamental return correlations, the procyclical and short-term dynamics of the momentum and profitability premiums, and the countercyclical and long-term dynamics of the value and investment premiums. However, the model falls short in explaining momentum crashes. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online..