• Media type: E-Book
  • Title: Aggregation, Capital Heterogeneity, and the Investment CAPM
  • Contributor: Gonçalves, Andrei [Author]; Xue, Chen [Other]; Zhang, Lu [Other]
  • Published: [S.l.]: SSRN, [2019]
  • Published in: Review of Financial Studies, Forthcoming
  • Extent: 1 Online-Ressource (97 p)
  • Language: English
  • DOI: 10.2139/ssrn.3403875
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2019 erstellt
  • Description: A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio level to match with portfolio-level stock returns. Working capital forms a separate productive input besides physical capital. The model fits well the value, momentum, investment, and profitability premiums simultaneously and partially explains positive stock-fundamental return correlations, the procyclical and short-term dynamics of the momentum and profitability premiums, as well as the countercyclical and long-term dynamics of the value and investment premiums. However, the model falls short in explaining momentum crashes
  • Access State: Open Access