The expected investment growth premium

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2021-01-20 DOI:10.1111/fima.12340

Jun Li, Huijun Wang, Jianfeng Yu

引用次数: 0

Abstract

We propose a novel measure of investment plans, namely expected investment growth (EIG), and find stocks with high EIG outperform stocks with low EIG by 17% per annum. This premium can be generated in a neoclassical model with the investment plan friction, in which a firm's expected returns increases with its planned investment due to an embedded leverage effect. We provide empirical evidence on the interaction of the cash flow effect and discount rate effect in driving this EIG premium. Our findings highlight the investment plan friction as an important economic channel to understand the cross-sectional risk premium.

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预期投资增长溢价

我们提出了一种新的投资计划衡量标准，即预期投资增长(EIG)，并发现EIG高的股票每年比EIG低的股票高出17%。这种溢价可以在具有投资计划摩擦的新古典模型中产生，在该模型中，由于嵌入杠杆效应，公司的预期收益随着计划投资而增加。我们提供了现金流效应和贴现率效应在驱动EIG溢价中的相互作用的经验证据。我们的研究结果强调投资计划摩擦是理解横截面风险溢价的重要经济渠道。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.