The expected returns and valuations of private and public firms

• 成果类型: Article
• 署名作者: Cooper, Ilan; Priestley, Richard
• 署名单位: BI Norwegian Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.023
• 发表日期: 2016
• 页码: 41-57
• 关键词: Real investment; systematic risk; Mispricing; q theory; Investment Returns; cost of capital; Private Firms; Public firms

摘要

Characteristics play a similar role in describing returns in private firms as in public firms. This evidence suggests a causal effect of optimal investment underlying the role of characteristics, as private firms do not have stock prices to over-or under-react on. Common factor models largely describe the cross section of investment returns of both types of firms, suggesting that the common factors are likely aggregate risk factors. Finally, the cost of capital and firm valuations are similar across private and public firms. (C) 2016 Elsevier B.V. All rights reserved.