This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns … explain the value premium. Second, we investigate how uncertainty about investment affects expected stock returns. Based on … the closed-form solution in our framework, we suggest that less uncertainty about investment induces lower expected stock …

premia across U.S. industries and show that the negative investment-return relation implied by q-theory is steeper for firms … paying high wage premia than for firms paying low wage premia. An extended investment-based model predicts the interaction … effect, showing the labor adjustment costs as key channel driving investment-return sensitivity. The inflexibility induced by …

measure how the market price of uncertainty contributes to the short and long-run valuations of cash flows. I propose a state …-space with macroeconomic and aggregate financial variables that quantifies the (model) uncertainty premium in the term structure …

returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …