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Investment shocks, firm characteristics and the cross-section of expected returns

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Table 1: Parameters
Table 2: Calibration
Table 3: Portfolio Characteristics (10 IK portfolios) Data Lo 2 3 4 5 6 7 8 9 Hi Hi-Lo E(R) − r f (%) 7.33 6.99 7.35 7.23 6.85 5.38 6.27 3.86 3.05 2.82 -4.52 (2.44) (2.73) (3.20) (2.93) (2.72) (2.03) (2.23) (1.28) (0.90) (0.58) (-1.25) σ(%) 20.18 17.20 15.
Table 4: Portfolio Characteristics (10 ROA portfolios) Data Lo 2 3 4 5 6 7 8 9 Hi Hi-Lo E(R) − r f (%) -0.19 2.52 5.69 5.17 6.73 6.96 4.42 6.63 4.43 6.26 6.46 (-0.04) (0.69) (1.67) (1.54) (2.35) (2.70) (1.66) (2.57) (1.77) (2.27) (1.59) σ(%) 36.38 24.55 22
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