Equilibrium Cross Section of Returns

By João F. Gomes, Leonid Kogan, Lu Zhang. Journal of Political Economy, 2003

802 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/409ab4aea96508620a1bec28f6703364b6752da5

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Citations in the corpus

The expected cost of default (2016, background): “…this literature include Gomes and Schmid (2010), Garlappi and Yan (2010), Berk, Green, and Naik (1999), Carlson, Fisher, and Giammarino (2004), and Gomes, Kogan, and Zhang (2003), as well as the previously mentioned Bhamra, Kuehn, and Strebulaev (2009a,b), Chen (2010), and Hackbarth, Miao, and…”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, background): “10For examples of this approach in the asset pricing literature see, e.g. Gomes et al. (2003) and Zhang (2005).”
Interest rate risk and bank equity valuations (2012, background): “A number of authors have attributed the failure of the standard CAPM to its static nature (see Hansen and Richard, 1987; Jagannathan and Wang, 1996; Gomes et al., 2003).”
Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns (2004, neutral): “The model roughly scales in costs and demands, and since we estimate several cost parameters, upper and lower boundaries for X and Z are imposed exogenously.(16) We also set the systematic proportion of demand to be α = 0.”
Empirical Evidence on Capital Investment, Growth Options, and Security Returns (2006, background): “Gomes et al. (2003) extend the model to a general equilibrium setting and emphasize that size and book-to-market can explain the cross section of stock returns because they are correlated with true conditional betas, which are estimated with error in empirical studies.”
Who Are the Value and Growth Investors (2017, positive): “In addition, structural production-based asset pricing models have had success in relating the sensitivity of a firm’s traded equity to the firm’s physical assets and growth options (Berk, Green, and Naik 1999, Gomes, Kogan, and Zhang 2003).”
Value Versus Growth: Time-Varying Expected Stock Returns (2011, background): “To generate positive average value-minus-growth returns, Gomes et al. assume that growth options are distributed equally across firms. Because more productive growth firms cannot invest more and grow faster, they pay more dividends and have shorter equity duration than value firms. This prediction i”
Labor Unions, Operating Flexibility, and the Cost of Equity (2010, background): “Since the theory (e.g., Gomes et al. (2003), Zhang (2005), Cooper (2006), and Merz and Yashiv (2007)) shows that costly adjustment and irreversibility should be positively related to required stock returns in the cross section, we predict a positive relation between unionization and the cost of…”