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来源类型Working Paper
规范类型报告
DOI10.3386/w6627
来源IDWorking 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
URLhttps://www.nber.org/papers/w6627
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/564138
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GB/T 7714
Jonathan Berk,Richard C. Green,Vasant Naik. Optimal Investment, Growth Options, and Security Returns. 1998.
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