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• W2212296857 abstract "We empirically investigate the ability of stochastic discount factors rooted in the investment-based asset pricing theory to explain di fferences in equity risk premia across book-to-market-sorted portfolios. Our approach to this question is to specify a minimum-distance discount factor lying in the linear span of fi rms' investment returns. Contrary to the theoretical predictions of the structural investment-based model, we find that the investment-based minimum-distance discount factor cannot empirically generate a value premium, or explain higher moments and comoments between investment returns and equity returns. Further, we show that the structural investment-based framework does not outperform the consumption-based model in fi tting the book-to-market-sorted portfolios." @default.
• W2212296857 created "2016-06-24" @default.
• W2212296857 creator A5005112488 @default.
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• W2212296857 date "2011-01-01" @default.
• W2212296857 modified "2023-09-24" @default.
• W2212296857 title "Does the Investment-Based Model Explain the Value Premium? Evidence from Investment Euler Equations" @default.
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• W2212296857 doi "https://doi.org/10.2139/ssrn.1786620" @default.
• W2212296857 hasPublicationYear "2011" @default.
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