Operating Hedge and Gross Profitability Premium
研究发现，当资本与可变投入互补且投入价格顺周期时，可变生产成本会降低企业现金流的系统性风险，且该经营对冲效应对高盈利企业更弱，从而产生总盈利能力溢价。
ABSTRACT We show theoretically that variable production costs reduce systematic risk of firms' cash flows if capital and variable inputs are complementary in firms' production and input prices are procyclical. In our dynamic model, this operating hedge effect is weaker for more profitable firms, giving rise to a gross profitability premium. Moreover, gross profitability and value factors are distinct and negatively correlated, and their premia are not captured by the capital asset pricing model (CAPM). We estimate the model by simulated method of moments, and find that its main implications for stock returns and cash flow dynamics are quantitatively consistent with the data.