hedge against uncertainty risk and earn lower risk premiums than value stocks. An investment-based asset pricing model …

-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST … news shock, which reflects future technological improvements in the production of investment goods such as computers …

pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …

; Scholz and Wilkens, 2005). Users often forget the main core assumption describing the appropriateness of such risk …

the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …