Does q-theory with investment frictions explain anomalies in the cross section of returns?

• 成果类型: Article
• 署名作者: Li, Dongmei; Zhang, Lu
• 署名单位: University of Michigan System; University of Michigan; National Bureau of Economic Research; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.06.001
• 发表日期: 2010
• 页码: 297-314
• 关键词: Investment-based asset pricing; Asset pricing anomalies; INVESTMENT FRICTIONS; The discount rate; financing constraints

摘要

Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using financing constraints to proxy for investment frictions, we show only weak evidence that the investment-to-assets and asset growth effects in the cross section of returns are stronger in financially more constrained firms than in financially less constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues, abnormal corporate investment, or net operating assets anomalies. Limits-to-arbitrage proxies dominate q-theory with investment frictions in explaining the magnitude of the investment-to-assets and asset growth anomalies in direct comparisons. (C) 2010 Elsevier B.V. All rights reserved.