Investment Dynamics and Earnings‐Return Properties: A Structural Approach
提出一个标准的新古典投资模型作为基准，用于解释无会计影响下的盈余回报模式，发现该模型能产生会计研究中常见的凹形盈余回报关系，且凹度随企业冲击波动性增加而增加、随投资水平增加而降低，实证支持了这些预测。
ABSTRACT We propose the standard neoclassical model of investment under uncertainty with short‐run adjustment frictions as a benchmark for earnings‐return patterns absent accounting influences. We show that our proposed benchmark generates a wide range of earnings‐return patterns documented in accounting research. Notably, our model generates a concave earnings‐return relation, similar to that of Basu [1997], and predicts that the earnings‐return concavity increases with the volatility of firms’ underlying shock processes and decreases with the level of firms’ investments. We find strong empirical support for these predictions. Overall, our evidence suggests that our proposed benchmark is useful for understanding the joint dynamics of variables of interest to accounting research (e.g., earnings, returns, investment, market‐to‐book) absent accounting influences, a necessary precondition for inferring the effects of accounting from these dynamics.