期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 101, 期 1, 页码 182-205出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2011.02.002
关键词
Real investment; Expected returns; Systematic risk; q-theory; Real options
We ask to what extent the negative relation between investment and average stock returns is driven by risk We show that: (i) the average return spread between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the loadings on the Chen, Roll, and Ross (1986) factors; (ii) as predicted by q-theory and real options models, systematic risk falls during large investment periods; (iii) the returns of factors formed on the investment-to-assets, asset growth, and investment growth all forecast aggregate economic activities. Our evidence suggests that risk plays an important role in explaining the investment-return relation. (C) 2011 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据