This paper examines the relationship between product life cycle and book-to-market effect on cross-sectional stock returns. While previous papers suggest that the book-to-market effect is related to a firm’s market value and fundamental value, this paper examines the product life cycle, which directly affects future cash flows. We find that the book-to-market effect is stronger for firms with a long product life cycle, which is consistent with the mispricing story in explaining the book-to-market effect. We further find that the role of product life cycle is more critical for firms with high investor limited attention, and that the product life cycle in part explains intangible returns.

本文研究了产品生命周期与账面市值比对横截面股票收益的影响之间的关系。虽然之前的论文认为账面市值效应与公司的市场价值和基本价值有关，但本文研究了直接影响未来现金流的产品生命周期。我们发现，对于产品生命周期较长的公司，账面市值效应更强，这与解释账面市值效应时的错误定价故事是一致的。我们进一步发现，对于投资者关注度较高的公司来说，产品生命周期的作用更为重要，并且产品生命周期在一定程度上解释了无形回报。