Optimal Investment, Growth Options, and Security Returns.

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Authored By
Berk, Jonathan B., Green, Richard C., Naik, Vasant
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Internal/Family Medicine
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Internal/Family Medicine
Book Detail
volume
54
ISSN
00221082
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9781911510482
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["Berk, Jonathan B., Green, Richard C., Naik, Vasant","INVESTMENTS, RATE of return, INVESTMENT analysis, ASSETS (Accounting), DECISION making, ECONOMETRIC models, MARKET value, INTEREST rate risk, RISK premiums, CORPORATE growth, EXPECTED returns, ECONOMIC models","English","1999-10-01","Journal of Finance (Wiley-Blackwell)","54"]
Description
As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time-series relation between the book-to-market ratio and asset returns; (ii) the cross-sectional relation between book-to-market, market value, and return; (iii) contrarian effects at short horizons; (iv) momentum effects at longer horizons; and (v) the inverse relation between interest rates and the market risk premium. [ABSTRACT FROM AUTHOR]
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