We show that the performance of the new factor models of and depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is constructed using traditional investment measures, or measures that also account for investment in intangibles. In contrast, we find that factors based on growth in inventory and accounts receivable contain the bulk of the pricing information in the asset growth factor. We show evidence that the superior performance of the asset growth factor seems to be attributable to its ability to capture aggregate shocks to equity financing costs.

中文翻译：

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资产增长在实证资产定价模型中的应用

我们表明， 和 的新因子模型的表现在很大程度上取决于其投资因子的构建方式。两种模型都使用总资产的增长来衡量投资。当使用传统投资指标或同时考虑无形资产投资的指标构建投资因子时，它们对横截面收益进行定价的能力会显着下降。相比之下，我们发现基于库存和应收账款增长的因素包含了资产增长因素中的大部分定价信息。我们的证据表明，资产增长因子的优异表现似乎归因于其捕捉股权融资成本总体冲击的能力。