Feedback Effects and Systematic Risk Exposures

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Breon-drish, Bradyn; Smith, Kevin
• 署名单位: University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13427
• 发表日期: 2025
• 页码: 981-1028
• 关键词: stock-market; INFORMATION; equilibrium; INVESTMENT; aggregation; incentives; returns; prices; MODEL

摘要

We model the feedback effect of a firm's stock price on investment in projects exposed to a systematic risk factor, like climate risk. The stock price reflects information about both the project's cash flows and its discount rate. A cash-flow-maximizing manager treats discount rate fluctuations as noise, but a price-maximizing manager interprets such variation as information about the project's net present value. This difference qualitatively changes how investment behavior varies with the project's risk exposure. Moreover, traditional objectives (e.g., cash flow or price maximization) need not maximize welfare because they do not correctly account for hedging and risk-sharing benefits of investment.