Construction, Real Uncertainty, and Stock-Level Investment Anomalies
研究发现实际投资与未来股票收益的负相关主要由扩建产能的企业驱动，并基于实物期权模型提出新产能学习期的不确定性会降低其预期收益，直到不确定性消除。
Abstract We show that the negative relation between real investments and future stock returns is primarily driven by the subsample of firms building additional capacity. We develop a real options model to rationalize that evidence based on the premise that firms need to learn how to best operate modern capacity vintages, inducing idiosyncratic uncertainty in that capacity’s production costs over the learning period. Conversely, the uncertainty lowers the expected return of firms with newly built capacity until it is resolved. Further evidence based on profit sensitivities to aggregate conditions; analyst forecast-error volatilities; and high- versus low-tech industry subsamples supports our uncertainty explanation.