Are the Fama French factors treated as risk? Evidence from CEO compensation
研究检验了资产定价理论中风险因子与边际消费效用的关系，发现市场、账面市值比和动量因子的回报与CEO绩效薪酬正相关，支持这些因子被视为风险。
Abstract Asset pricing theory postulates that a risk factor correlates with individuals' marginal utility of consumption. Hence, under plausible preferences, individuals should become more risk tolerant given favorable factor returns. We show that this wealth effect predicts a positive association between performance pay and factor returns. Our results support the hypothesized relationship for the market, book‐to‐market and momentum factors. Factors constructed from bond prices are positively associated to incentives, incrementally to the Fama French factors, but we obtain mixed evidence for higher‐order market factors, liquidity factors or factors constructed from national income accounts, including pricing kernels.