Interest Rate Risk and the Cross Section of Stock Returns
构建了一个以货币机会成本为关键因子的宏观资产定价模型，发现利率风险能解释股票收益的横截面差异，且价值股和长期输家股因利率风险更高而获得更高超额收益。
Abstract We derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.