The Value Premium
在新古典理性预期框架下解释价值异常，认为资产调整成本高且风险价格逆周期，使现有资产比增长期权风险更高，从而产生价值溢价，并推导出可检验的新假说。
ABSTRACT The value anomaly arises naturally in the neoclassical framework with rational expectations. Costly reversibility and countercyclical price of risk cause assets in place to be harder to reduce, and hence are riskier than growth options especially in bad times when the price of risk is high. By linking risk and expected returns to economic primitives, such as tastes and technology, my model generates many empirical regularities in the cross‐section of returns; it also yields an array of new refutable hypotheses providing fresh directions for future empirical research.