NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks

Leonid Kogan, Dimitris Papanikolaou

NBER Working Paper No. 17975
Issued in April 2012

---- Acknowledgements -----

We thank seminar participants at University of Chicago, Northwestern, MIT, Princeton, and NYU for useful comments. We thank Ryan Israelsen for sharing with us the quality-adjusted investment goods price series. Dimitris Papanikolaou thanks the Zell Center for Risk and the Jerome Kenney Fund for financial support. Leonid Kogan thanks J.P. Morgan for financial support. A preliminary version of this paper was circulated under the title "Investment shocks, firm characteristics and the cross-section of expected returns". The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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