Real investment and risk dynamics

• 成果类型: Article
• 署名作者: Cooper, Ilan; Priestley, Richard
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.002
• 发表日期: 2011
• 页码: 182-205
• 关键词: Real investment; Expected returns; systematic risk; Q-theory; Real options

摘要

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.