The Utilization Premium
研究了企业资本利用率与折旧如何影响预期收益和投资，发现买入低利用率股票、卖出高利用率股票每年可获得5%的超额收益，并用量化生产模型解释了这一溢价。
We study the interaction of flexible capital utilization and depreciation for expected returns and investment of firms. Empirically, an investment strategy that buys (sells) equities with low (high) utilization rates earns 5% per annum. Utilization predicts excess returns beyond other production-based variables. We reconcile this novel utilization premium quantitatively using a production model. The model suggests that flexible utilization is important for matching the cross-sectional distribution of investment and stock prices jointly. A model without flexible utilization yields many counterfactuals that flexible utilization addresses by making depreciation fluctuate endogenously. Overall, utilization tightens the link between firms’ production and valuations. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2022.4647 .