Does Corporate Investment Respond to the Time-Varying Cost of Capital? Empirical Evidence
利用个股期权价格测算条件股权成本，发现企业投资对期权隐含股权成本和加权平均资本成本的波动呈负向响应，且投资对资本成本的弹性与对生产率的弹性几乎一致，表明企业能准确更新折现率。
Abstract I examine whether the time-varying cost of capital is considered in firms’ capital budgeting decisions. For this test, I measure the conditional cost of equity using individual equity option prices. I find that corporate investment responds negatively to fluctuations in the option-implied cost of equity and the weighted average costs of capital. Furthermore, through decomposing marginal $ q $ , I reveal that the cost-of-capital elasticity of empirical investment is almost identical to its productivity elasticity, as theory predicts. These findings suggest that firms’ discount rates are updated accurately in practice despite the failure of conventional frameworks, such as factor-based models, in this regard.