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dc.contributor.authorCooper, Ilan
dc.contributor.authorPriestley, Richard
dc.date.accessioned2012-12-05T13:06:52Z
dc.date.available2012-12-05T13:06:52Z
dc.date.issued2011
dc.identifier.issn1879-2774 (e-utg)
dc.identifier.urihttp://hdl.handle.net/11250/93746
dc.descriptionThis is the authors’ final, accepted and refereed manuscript to the articleno_NO
dc.description.abstractThe 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.no_NO
dc.language.isoengno_NO
dc.publisherElsevierno_NO
dc.subjectReal Investmentno_NO
dc.subjectExpected Returnsno_NO
dc.subjectSystematic Riskno_NO
dc.subjectMispricingno_NO
dc.subjectQ-Theoryno_NO
dc.subjectReal Optionsno_NO
dc.titleReal investment and risk dynamicsno_NO
dc.typeJournal articleno_NO
dc.typePeer reviewedno_NO
dc.source.pagenumber182-205no_NO
dc.source.volume101no_NO
dc.source.journalJournal of Financial Economicsno_NO
dc.source.issue1no_NO
dc.identifier.doihttp://dx.doi.org/10.1016/j.jfineco.2011.02.002


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