David, Joel M.; Schmid, Lukas; Zeke, David - 2020
risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk premia and (ii) the price of risk, and thus is … countercyclical. We document strong empirical support for these predictions. Stock market-based measures of risk premia imply that … risk considerations explain about 30% of observed MPK dispersion among US firms and rationalize a large persistent …