A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia
构建了一个通用均衡生产经济模型，匹配价值溢价和股权溢价的关键特征，发现价值公司因未来现金流对股权溢价变动敏感而获得补偿，资本调整成本在其中起关键作用。
A simple general equilibrium production economy matches moments of the value premium and equity premium. Value firms have low productivity, but will eventually produce high cash flows. The present value of these temporally distant cash flows is especially sensitive to equity premium movements. The value premium is the reward for bearing this sensitivity. Capital adjustment costs are important. Without these costs, value firms would disinvest heavily, leading to high cash flows today, low cash-flow growth going forward, and little exposure to discount rate shocks. Empirical evidence verifies that value firms have higher cash-flow growth and supports other predictions. Received date July 17, 2017; Accepted date October 22, 2017 By Editor Raman Uppal