Investment-based asset pricing models typically predict a close link between a firm’s stock return and its characteristics at any point in time. Yet, previous studies have primarily focused on the weaker prediction that this link holds on average, finding substantial empirical support. We show how to incorporate the time-series predictions in the estimation and testing of investment-based models using the generalized method of moments. We find that standard specifications of investment-based models with one physical capital input fail to match the time series properties of stock returns in the data, and discuss the implications of the findings for future research.

中文翻译：

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估算和测试基于投资的资产定价模型


基于投资的资产定价模型通常预测公司的股票回报与其在任何时间点的特征之间的密切联系。然而，以前的研究主要集中在这种联系平均成立的较弱预测上，找到了大量的实证支持。我们展示了如何使用广义矩法将时间序列预测纳入基于投资的模型的估计和测试中。我们发现，具有一个物理资本输入的基于投资的模型的标准规格与数据中股票回报的时间序列属性不匹配，并讨论了这些发现对未来研究的意义。