Asset prices and real investment

• 成果类型: Article
• 署名作者: Kogan, L
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.12.002
• 发表日期: 2004
• 页码: 411-431
• 关键词: investment; irreversibility; general equilibrium; Leverage effect; Book-to-market

摘要

Firm investment activity and firm characteristics, particularly the market-to-book ratio or q, are functions of the state of the economy and therefore contain information about the dynamic behavior of stock returns. This paper develops a model of a production economy in which real investment is irreversible and subject to convex adjustment costs. During low-q (high-q) periods when the irreversibility constraint (constraint on the rate of investment) is binding, conditional volatility and expected returns on one hand, and market-to-book ratios on the other, should be negatively (positively) related. Empirical tests based on industry portfolios support these predictions for conditional volatility but not for expected returns. (C) 2004 Elsevier B.V. All rights reserved.