| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21064 |
| 来源ID | Working Paper 21064 |
| Investment and The Cross-Section of Equity Returns | |
| Gian Luca Clementi; Berardino Palazzo | |
| 发表日期 | 2015-04-06 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We confront the one-factor production-based asset pricing model with the evidence on firm-level investment, to uncover that it produces implications for the dynamics of capital that are seriously at odds with the evidence. The data shows that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets and downsize. In turn, this reduces the risk faced by their shareholders and the returns that they are likely to demand. It follows that when the frictions to capital adjustment are shaped to respect the evidence on investment, the model–generated cross–sectional dispersion of returns is only a small fraction of what documented in the data. Our conclusions hold true even when either operating or labor leverage are modeled in ways that were shown to be promising in the extant literature. |
| 主题 | Microeconomics ; Households and Firms ; Behavioral Economics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21064 |
| 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/578738 |
| 推荐引用方式 GB/T 7714 | Gian Luca Clementi,Berardino Palazzo. Investment and The Cross-Section of Equity Returns. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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