Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns
展示企业投资决策如何解释预期资产收益的条件动态，引入经营杠杆、可逆实物期权、固定调整成本和有限增长机会，模拟出与数据相当的组合超额收益。
ABSTRACT We show that corporate investment decisions can explain the conditional dynamics in expected asset returns. Our approach is similar in spirit to Berk, Green, and Naik (1999) , but we introduce to the investment problem operating leverage, reversible real options, fixed adjustment costs, and finite growth opportunities. Asset betas vary over time with historical investment decisions and the current product market demand. Book‐to‐market effects emerge and relate to operating leverage, while size captures the residual importance of growth options relative to assets in place. We estimate and test the model using simulation methods and reproduce portfolio excess returns comparable to the data.