The expected investment growth premium
提出预期投资增长（EIG）指标，发现高EIG股票年收益比低EIG股票高17%，并基于投资计划摩擦模型解释该溢价源于嵌入的杠杆效应。
Abstract We propose a novel measure of investment plans, namely expected investment growth (EIG), and find stocks with high EIG outperform stocks with low EIG by 17% per annum. This premium can be generated in a neoclassical model with the investment plan friction, in which a firm's expected returns increases with its planned investment due to an embedded leverage effect. We provide empirical evidence on the interaction of the cash flow effect and discount rate effect in driving this EIG premium. Our findings highlight the investment plan friction as an important economic channel to understand the cross‐sectional risk premium.