Investment Shocks and Asset Prices: An Investment-Based Approach
提出一种基于投资数据的方法，衡量公司对投资特定技术冲击的暴露程度，发现价值型公司比成长型公司暴露更高，并揭示现有实证结果可能源于代理变量的测量误差。
We propose a new approach, based on investment data, to determine firms’ return exposure to investment-specific technology (IST) shocks. When applied to U.S. data, we find that, in contrast to the pattern estimated from empirical IST proxies, value firms have higher exposure to IST shocks than growth firms. When applied to simulated data from existing theoretical models, our approach reveals that existing empirical findings may result from measurement errors in the IST proxies. Importantly, our simulation analysis uncovers the key role played by investment data in determining the economic mechanism through which IST shocks affect cross-sectional asset prices.