Business Capacity Industry Characteristics and Stock Prices：A General Equilibrium Asset Pricing Model

摘要

Based on the general equilibrium asset pricing model, this paper studies the affects on expected stock returns when exists exogenous consumption habits and adjustment costs, and shows that expected stock returns as a linear function of free-risk rate, B/M ratio pricing factor and enterprise size pricing factor .The results prove that the management capacity and industry development prospect are positively related to the expected stock returns, and that the enterprise size and B/M ratio are negatively related to the expected stock returns.