Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment
构建了一个实物期权模型来解释价值溢价现象。如果实际投资不可逆，陷入困境的公司因闲置资本导致账面市值比高，其股票收益对宏观冲击敏感，系统性风险高。模拟表明该模型能较好解释观察到的价值溢价。
ABSTRACT This paper derives a real options model that accounts for the value premium. If real investment is largely irreversible, the book value of assets of a distressed firm is high relative to its market value because it has idle physical capital. The firm's excess installed capital capacity enables it to fully benefit from positive aggregate shocks without undertaking costly investment. Thus, returns to equity holders of a high book‐to‐market firm are sensitive to aggregate conditions and its systematic risk is high. Simulations indicate that the model goes a long way toward accounting for the observed value premium.