Investment anomalies and the growth risk premium
研究了投资增长风险与未来收益的互动如何预测股票回报，通过理论模型连接股票收益与投资增长不确定性、公司盈利、账面市值比和盈利系统性风险，解释了投资异象和账面市值因子的本质。
The interaction between the risky growth of investment and future earnings plays a central role in predicting stock returns, giving rise to an investment puzzle associated with the risk inherent in growth. Our parsimonious theoretical model provides a connection between stock returns and uncertainties in investment growth, company profitability, book-to-market ratio, and earnings systematic risk. This analytic approach to the determinants of stock returns contrasts with conventional factor models that augment the simple CAPM model with empirically determined accounting variables. Our analysis sheds light on several empirical anomalies resulting from interactions between explanatory variables used in empirical analysis and offers insights into the nature and structure of the book-to-market factor.