| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6627 |
| 来源ID | Working Paper 6627 |
| Optimal Investment, Growth Options, and Security Returns | |
| Jonathan Berk; Richard C. Green; Vasant Naik | |
| 发表日期 | 1998-06-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | As a consequence of optimal investment choices, firms' assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time series relation between the book-to-market ratio and asset returns, (ii) the cross-sectional relation between book to market, market value and return, (iii) contrarian effects at short horizons, (iv) momentum effects at longer horizons, and (v) the inverse relation between interest rates and the market risk premium. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w6627 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564138 |
| 推荐引用方式 GB/T 7714 | Jonathan Berk,Richard C. Green,Vasant Naik. Optimal Investment, Growth Options, and Security Returns. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6627.pdf（2269KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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