Empirical evidence on capital investment, growth options, and security returns

• 成果类型: Article
• 署名作者: Anderson, CW; Garcia-Feijóo, L
• 署名单位: University of Kansas; Creighton University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00833.x
• 发表日期: 2006
• 页码: 171-194
• 关键词: BOOK-TO-MARKET; CROSS-SECTIONAL TEST; DELISTING BIAS; risk-factors; size; momentum; equilibrium; premia; stocks; tests

摘要

Growth in capital expenditures conditions subsequent classification of firms to portfolios based on size and book-to-market ratios, as in the widely used Fama and French (1992, 1993) methods. Growth in capital expenditures also explains returns to portfolios and the cross section of future stock returns. These findings are consistent with recent theoretical models (e.g., Berk, Green, and Naik (1999)) in which the exercise of investment-growth options results in changes in both valuation and expected stock returns.