Asset pricing predictions from the investment CAPM depend on the cross-sectional relation between investment and profitability. In samples of U.S. stocks featuring high cross-sectional investment-profitability correlation, both investment and profitability premiums are weak. Consistent with the conditional predictions from the investment CAPM, triple sorts on size, investment, and profitability as in Hou et al. (2015)’s $q$-factors resurrect the premiums in the high-correlation samples. We find similar results using cash-based profitability, consistent with the dynamic investment CAPM. Our work has important implications for constructing asset pricing factors and interpreting out-of-sample asset pricing test results, in particular the insignificance of historical investment and profitability premiums.

投资 CAPM 的资产定价预测取决于投资和盈利能力之间的横截面关系。在横截面投资盈利相关性较高的美股样本中，投资溢价和盈利溢价均较弱。与投资 CAPM 的条件预测一致，对规模、投资和盈利能力进行三重排序，如 Hou 等人。(2015) 的$q$-因素使高相关样本中的保费复活。我们使用基于现金的盈利能力发现了类似的结果，与动态投资 CAPM 一致。我们的工作对于构建资产定价因素和解释样本外资产定价测试结果具有重要意义，特别是历史投资和盈利溢价的不显着性。