Business Capacity Industry Characteristics and Stock Prices：A General Equilibrium Asset Pricing Model

摘要：

Based on the general equilibrium asset pricing model, this paper studies the affects on expected stock returns when exists exogenous consumption habits and adjustment costs, and shows that expected stock returns as a linear function of free-risk rate, B/M ratio pricing factor and enterprise size pricing factor .The results prove that the management capacity and industry development prospect are positively related to the expected stock returns, and that the enterprise size and B/M ratio are negatively related to the expected stock returns.

关键词： business capacity industry characteristics expected stock returns

作者: 朱微亮 刘海龙 刘富兵

作者单位: 上海交通大学金融工程研究中心

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）