Optimal investment, growth options, and security returns

• 成果类型: Article
• 署名作者: Berk, JB; Green, RC; Naik, V
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; Carnegie Mellon University; University of British Columbia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00161
• 发表日期: 1999
• 页码: 1553-1607
• 关键词: EXPECTED STOCK-RETURNS; Book-to-market; term structure; interest-rates; cross-section; asset prices; RISK; time; fluctuations; EFFICIENCY

摘要

As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time-series relation between the book-to-market ratio and asset returns; (ii) the cross-sectional relation between book-to-market, market value, and return; (iii) contrarian effects at short horizons; (iv) momentum effects at longer horizons; and (v) the inverse relation between interest rates and the market risk premium.