We show theoretically that variable production costs reduce systematic risk of firms' cash flows if capital and variable inputs are complementary in firms' production and input prices are procyclical. In our dynamic model, this operating hedge effect is weaker for more profitable firms, giving rise to a gross profitability premium. Moreover, gross profitability and value factors are distinct and negatively correlated, and their premia are not captured by the capital asset pricing model (CAPM). We estimate the model by simulated method of moments, and find that its main implications for stock returns and cash flow dynamics are quantitatively consistent with the data.

中文翻译：

---

经营对冲和毛利率溢价

我们从理论上证明，如果资本和可变投入在企业生产中是互补的，并且投入价格是顺周期性的，那么可变生产成本会降低企业现金流的系统性风险。在我们的动态模型中，对于盈利能力较高的公司来说，这种经营对冲效应较弱，从而导致毛盈利溢价。此外，毛盈利能力和价值因素是截然不同且负相关的，资本资产定价模型（CAPM）无法捕捉到它们的溢价。我们通过矩量模拟法对模型进行了估计，发现其对股票收益和现金流动态的主要影响与数据在数量上是一致的。