skip to content
Optimal investment, growth options, and security returns Preview this item
ClosePreview this item
Checking...

Optimal investment, growth options, and security returns

Author: Jonathan B Berk; Richard C Green; Vasanttilak T Naik; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1998.
Series: Working paper series (National Bureau of Economic Research), working paper no. 6627.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: As a consequence of optimal investment choices, firms' 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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jonathan B Berk; Richard C Green; Vasanttilak T Naik; National Bureau of Economic Research.
OCLC Number: 70107892
Notes: "June 1998."
Description: 1 online resource (50, [11]) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 6627.
Responsibility: Jonathan Berk, Richard C. Green, Vasant Naik.

Abstract:

Abstract: As a consequence of optimal investment choices, firms' 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.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/70107892> # Optimal investment, growth options, and security returns
    a schema:Book, schema:MediaObject, schema:CreativeWork ;
   library:oclcnum "70107892" ;
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/42615846#Place/cambridge_ma> ; # Cambridge, MA
   schema:about <http://experiment.worldcat.org/entity/work/data/42615846#Topic/capital_investments_united_states_econometric_models> ; # Capital investments--United States--Econometric models
   schema:about <http://id.worldcat.org/fast/846326> ; # Capital investments--Econometric models
   schema:about <http://id.worldcat.org/fast/1204155> ; # United States.
   schema:about <http://id.worldcat.org/fast/879876> ; # Corporations--Growth--Econometric models
   schema:about <http://experiment.worldcat.org/entity/work/data/42615846#Topic/corporations_united_states_growth_econometric_models> ; # Corporations--United States--Growth--Econometric models
   schema:bookFormat schema:EBook ;
   schema:contributor <http://viaf.org/viaf/135446122> ; # National Bureau of Economic Research.
   schema:contributor <http://viaf.org/viaf/29154912> ; # Vasanttilak Thakorbhai Naik
   schema:contributor <http://viaf.org/viaf/45386330> ; # Richard Carleton Green
   schema:copyrightYear "1998" ;
   schema:creator <http://viaf.org/viaf/106949920> ; # Jonathan B. Berk
   schema:datePublished "1998" ;
   schema:description "Abstract: As a consequence of optimal investment choices, firms' 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."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/42615846> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/42615846#Series/nber_working_paper_series> ; # NBER working paper series ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/42615846#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
   schema:name "Optimal investment, growth options, and security returns"@en ;
   schema:productID "70107892" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/70107892#PublicationEvent/cambridge_ma_national_bureau_of_economic_research_1998> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/42615846#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
   schema:url <http://papers.nber.org/> ;
   schema:url <http://papers.nber.org/papers/w6627> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/70107892> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/42615846#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
   schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/42615846#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/70107892> ; # Optimal investment, growth options, and security returns
   schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/42615846#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/70107892> ; # Optimal investment, growth options, and security returns
   schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/42615846#Topic/capital_investments_united_states_econometric_models> # Capital investments--United States--Econometric models
    a schema:Intangible ;
   schema:hasPart <http://id.loc.gov/authorities/subjects/sh2008100076> ;
   schema:name "Capital investments--United States--Econometric models"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/42615846#Topic/corporations_united_states_growth_econometric_models> # Corporations--United States--Growth--Econometric models
    a schema:Intangible ;
   schema:hasPart <http://id.loc.gov/authorities/subjects/sh85032958> ;
   schema:name "Corporations--United States--Growth--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/1204155> # United States.
    a schema:Place ;
   schema:name "United States." ;
    .

<http://id.worldcat.org/fast/846326> # Capital investments--Econometric models
    a schema:Intangible ;
   schema:name "Capital investments--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/879876> # Corporations--Growth--Econometric models
    a schema:Intangible ;
   schema:name "Corporations--Growth--Econometric models"@en ;
    .

<http://viaf.org/viaf/106949920> # Jonathan B. Berk
    a schema:Person ;
   schema:birthDate "1962" ;
   schema:familyName "Berk" ;
   schema:givenName "Jonathan B." ;
   schema:name "Jonathan B. Berk" ;
    .

<http://viaf.org/viaf/135446122> # National Bureau of Economic Research.
    a schema:Organization ;
   schema:name "National Bureau of Economic Research." ;
    .

<http://viaf.org/viaf/29154912> # Vasanttilak Thakorbhai Naik
    a schema:Person ;
   schema:familyName "Naik" ;
   schema:givenName "Vasanttilak Thakorbhai" ;
   schema:givenName "Vasanttilak T." ;
   schema:name "Vasanttilak Thakorbhai Naik" ;
    .

<http://viaf.org/viaf/45386330> # Richard Carleton Green
    a schema:Person ;
   schema:familyName "Green" ;
   schema:givenName "Richard Carleton" ;
   schema:givenName "Richard C." ;
   schema:name "Richard Carleton Green" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.