Value Premium and Equity Term Structures of Value and Growth Firms
研究了信息处理和学习对未来预期现金流的影响如何内生地产生价值型公司和成长型公司，并解释了价值溢价以及两类公司股票期限结构的差异。
This paper studies the impact of information processing and learning about expected future cashflows on the level and timing of risk premiums in the cross section of firms. Learning with information sources of different qualities endogenously generates value firms, growth firms, and a value premium in equilibrium. Furthermore, the learning model predicts an upward-sloping equity term structure for value firms and a flat equity term structure for growth firms. Using earnings, return, and news data on value and growth firms, we show that the predictions of the learning model are consistent with the data. This paper was accepted by Kay Giesecke, finance. Funding: Research support from Long-Term Investors@UniTo, the University of Neuchatel, and the University of Toronto is gratefully acknowledged. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2024.05922 .