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Real investment and risk dynamics

Cooper, Ilan; Priestley, Richard
Journal article, Peer reviewed
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Cooper_Priestley_JFE_2011.pdf (297.6Kb)
URI
http://hdl.handle.net/11250/93746
Date
2011
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  • Scientific articles [1360]
Original version
http://dx.doi.org/10.1016/j.jfineco.2011.02.002
Abstract
The spread in average returns between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the Chen, Roll and Ross (1986) factors. In addition, systematic risk and volatility fall sharply during large investment periods. Consistent with the predictions of both the q-theory and real options models, the systematic risk spread and fall in risk and volatility are largest for high q rms. Moreover, investment and asset growth factors can predict economic growth. Our evidence implies that much of negative investment (asset growth)-future returns relationship can be explained by rational pricing.
Description
This is the authors’ final, accepted and refereed manuscript to the article
Publisher
Elsevier
Journal
Journal of Financial Economics

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