Aggregation , Capital Heterogeneity , and the Investment CAPM

  title={Aggregation , Capital Heterogeneity , and the Investment CAPM},
  author={Adriano Ramos Goncalves and Chen Xue},
This paper provides a careful treatment of aggregation, and to a lesser extent, capital heterogeneity in the investment CAPM. Firm-level investment returns are constructed from firm-level variables, and aggregated to the portfolio level to match with portfoliolevel stock returns. Current assets form a separate production input besides physical capital. The model fits well the value, momentum, investment, and profitability premiums simultaneously, and partially explains the positive stock… CONTINUE READING


Publications citing this paper.


Publications referenced by this paper.

Financial Decisions and Markets: A Course in Asset Pricing

  • Campbell, Y John
  • 2018

A five-factor asset pricing model

  • Fama, F Eugene, Kenneth R. French
  • Journal of Financial Economics
  • 2015

Digesting anomalies: An investment approach

  • Hou, Kewei, Chen Xue, Lu Zhang
  • Review of Financial Studies
  • 2015

Production-based measures of risk for asset pricing

  • Belo, Frederico
  • Journal of Monetary Economics
  • 2010

Similar Papers

Loading similar papers…