Models of the q theory typically assume that investments are determined by a specific approximating structured q model, hence ruling out perturbations due to a set of statistically nearby unstructured alternatives. This paper formulates a generalized framework, where concern to unstructured q...

I propose a tractable model integrating dynamic internal capital allocation with imperfect patent protection, thereby endogenizing patent war as well as financing constraints. I emphasize the central importance of capital intangibility for corporate decisions when intangibles are insecure. The...

I explore an intricate interaction between a firm’s risk exposure, intangible capital accumulation, and physical capital accumulation by using a unified dynamic investment model of capital allocation. The model emphasizes both the importance of the marginal value of the intangible capital and...

Conventional measurements of risk premiums are biased if the estimation models are potentially misspecified and unstable. Say, factor interactions is one of the crucial omitted specifications that standard models cannot involve. Motivated by this argument, we propose an interpretable...

Polynomial factor models (henceforth, PFM) represent a new class of factor models for high-dimensional panel data. We develop several econometric theories for factor models of latent factor interactions. Unlike approximate factor models (AFM), which are based on linear combinations of observed...

We propose a new modeling approach for the cross-section of returns. Our model, Factorization Asset Pricing Model (FAPM), allows for predictor interactions by introducing second-order observable characteristics interactions regarding the unobservable high-order loadings. If the characteristics...