國立高雄大學圖資館 |

Language: English

Back

Investment and returns.

Gala, Vito Domenico.

Investment and returns.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Investment and returns.
Author:	Gala, Vito Domenico.
Description:	126 p.
Notes:	Adviser: John H. Cochrane.
Notes:	Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3524.
Contained By:	Dissertation Abstracts International67-09A.
Subject:	Economics, Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3231394
ISBN:	9780542854446

Investment and returns.
Gala, Vito Domenico.

Investment and returns. - 126 p.

Adviser: John H. Cochrane.

Thesis (Ph.D.)--The University of Chicago, 2006.

A general equilibrium production economy with heterogeneous firms and irreversible investment generates the value premium. Investment irreversibility prevents unprofitable value firms from optimally scaling down their capital stock. In contrast, profitable and fast growing - growth - firms can optimally use investment to provide consumption insurance. Value firms are riskier and have higher expected returns than growth firms, especially in bad times when consumption volatility is high. The value premium is larger for small stocks as small value firms are more severely affected by irreversibility. The model can replicate the failure of the unconditional CAPM. Multifactor models including the Fama and French (1993) factor model and to a less extent conditional versions of the CAPM outperform the unconditional CAPM.

ISBN: 9780542854446Subjects--Topical Terms:

212585
Economics, Finance.

Investment and returns.
LDR:01734nmm _2200265 _450 001 180654
005 20080111103807.5
008 090528s2006 eng d
020 $a 9780542854446
035 $a 00311679
040 $a UMI $c UMI
100 0 $a Gala, Vito Domenico. $3 264233
245 1 0 $a Investment and returns.
300 $a 126 p.
500 $a Adviser: John H. Cochrane.
500 $a Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3524.
502 $a Thesis (Ph.D.)--The University of Chicago, 2006.
520 # $a A general equilibrium production economy with heterogeneous firms and irreversible investment generates the value premium. Investment irreversibility prevents unprofitable value firms from optimally scaling down their capital stock. In contrast, profitable and fast growing - growth - firms can optimally use investment to provide consumption insurance. Value firms are riskier and have higher expected returns than growth firms, especially in bad times when consumption volatility is high. The value premium is larger for small stocks as small value firms are more severely affected by irreversibility. The model can replicate the failure of the unconditional CAPM. Multifactor models including the Fama and French (1993) factor model and to a less extent conditional versions of the CAPM outperform the unconditional CAPM.
590 $a School code: 0330.
650 # 0 $a Economics, Finance. $3 212585
650 # 0 $a Economics, Theory. $3 212740
690 $a 0508
690 $a 0511
710 0 # $a The University of Chicago. $3 212422
773 0 # $g 67-09A. $t Dissertation Abstracts International
790 $a 0330
790 1 0 $a Cochrane, John H., $e advisor
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://libsw.nuk.edu.tw:81/login?url=http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3231394 $z http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3231394