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dc.contributor.authorKogan, Leonid
dc.contributor.authorPapanikolaou, Dimitris
dc.date.accessioned2014-06-13T14:52:48Z
dc.date.available2014-06-13T14:52:48Z
dc.date.issued2013-05
dc.identifier.issn0893-9454
dc.identifier.issn1465-7368
dc.identifier.urihttp://hdl.handle.net/1721.1/87762
dc.description.abstractAverage return differences among firms sorted on valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firms to the same systematic factor related to embodied technology shocks. Using a calibrated structural model, we show that these firm characteristics are correlated with the ratio of growth opportunities to firm value, which affects firms' exposures to capital-embodied productivity shocks and risk premia. We thus provide a unified explanation for several apparent anomalies in the cross-section of stock returns—namely, predictability of returns by these firm characteristics and return comovement among firms with similar characteristics.en_US
dc.description.sponsorshipJ.P. Morgan & Co.en_US
dc.language.isoen_US
dc.publisherOxford University Pressen_US
dc.relation.isversionofhttp://dx.doi.org/10.1093/rfs/hht026en_US
dc.rightsCreative Commons Attribution-Noncommercial-Share Alikeen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0/en_US
dc.sourceSSRNen_US
dc.titleFirm Characteristics and Stock Returns: The Role of Investment-Specific Shocksen_US
dc.typeArticleen_US
dc.identifier.citationKogan, L., and D. Papanikolaou. “Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks.” Review of Financial Studies 26, no. 11 (November 1, 2013): 2718–2759.en_US
dc.contributor.departmentSloan School of Managementen_US
dc.contributor.mitauthorKogan, Leoniden_US
dc.relation.journalReview of Financial Studiesen_US
dc.eprint.versionAuthor's final manuscripten_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/PeerRevieweden_US
dspace.orderedauthorsKogan, L.; Papanikolaou, D.en_US
dc.identifier.orcidhttps://orcid.org/0000-0001-9387-9728
mit.licenseOPEN_ACCESS_POLICYen_US
mit.metadata.statusComplete


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