• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Asset Growth, Profitability, and Investment Opportunities

Cooper, Ilan; Maio, Paulo
Journal article, Peer reviewed
Accepted version
Thumbnail
View/Open
Cooper2018.pdf (483.6Kb)
URI
http://hdl.handle.net/11250/2631471
Date
2018
Metadata
Show full item record
Collections
  • Publikasjoner fra CRIStin - BI [836]
  • Scientific articles [2147]
Original version
Management science. 2018, 1-23.   10.1287/mnsc.2018.3036
Abstract
We show that recent prominent equity factor models are to a large degreecompatible with the Intertemporal CAPM (ICAPM) framework. Factors associated withalternative profitability measures forecast the equity premium in a way that is consistentwith the ICAPM. Several factors based on firms’ asset growth predict a significant declinein stock market volatility, thus being consistent with their positive prices of risk. Theinvestment-based factors are also strong predictors of an improvement in future economicactivity. The time-series predictive ability of most equity state variables is not subsumedby traditional ICAPM state variables. Importantly, factors that earn larger risk prices tendto be associated with state variables that are more correlated with future investmentopportunities or economic activity. Moreover, these risk price estimates can be reconciledwith plausible risk-aversion parameter estimates. Overall, the ICAPM can be used as acommon theoretical background for recent multifactor models.
Publisher
Informs
Journal
Management science
Copyright
INFORMS gives permission to authors to post their author accepted manuscript (AAM) on institutional repositories. After January 1, 2015, it no longer grants permission for the INFORMS typeset version to be posted on institutional repositories. Authors may post their AAM in noncommercial institutional repositories immediately after acceptance. Posted AAMs must include the DOI (permalink) provided by INFORMS to the final published version of record.

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit