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Investment and returns.

Gala, Vito Domenico.

Investment and returns.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Investment and returns.
作者:	Gala, Vito Domenico.
面頁冊數:	126 p.
附註:	Adviser: John H. Cochrane.
附註:	Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3524.
Contained By:	Dissertation Abstracts International67-09A.
標題:	Economics, Finance.
電子資源:	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.
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