This paper investigates the firm-level, asset pricing implications of government expenditures. Higher government sales dependency (GD), unconditional on political partisanship cycles, significantly predicts positive future returns, and a GD-weighted portfolio substantially improves the tangency portfolio’s ex post Sharpe ratio. Conditionally, the results are stronger during Republican presidencies. Higher returns do not stem from political connections or political and regulatory risks. The underlying economic channel is higher expected cash flow from increased profitability. Atypical provisions of government contracts and information asymmetry likely drive higher profit margins. A risk versus a mispricing analysis elicits more convincing evidence for mispricing as an explanation for abnormal returns.

中文翻译：

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企业对政府销售的依赖对资产定价的影响

本文研究了政府支出对企业层面的资产定价影响。较高的政府销售依赖性（GD），无条件的政治党派周期，显着预测正的未来回报，GD加权投资组合显着提高了切线投资组合的事后夏普比率。有条件地，共和党总统任期内的结果更强。更高的回报并非源于政治关系或政治​​和监管风险。潜在的经济渠道是盈利能力增加带来的更高预期现金流。政府合同的非典型条款和信息不对称可能会推动更高的利润率。风险与错误定价分析为错误定价作为异常回报的解释提供了更有说服力的证据。