Kogan, Leonid; Papanikolaou, Dimitris - In: Review of Financial Studies 26 (2013) 11, pp. 2718-2759
Average 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...