Does q-theory with investment frictions explain anomalies in the cross section of returns?

被引：146
|
作者：
Li, Dongmei [3 ]
Zhang, Lu [1 ,2 ]
机构：
[1] Univ Michigan, Stephen M Ross Sch Business, Ann Arbor, MI 48109 USA
[2] NBER, Cambridge, MA 02138 USA
[3] Univ Calif San Diego, Rady Sch Management, San Diego, CA 92103 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2010年 / 98卷 / 02期
关键词：
Investment-based asset pricing; Asset pricing anomalies; Investment frictions; The discount rate; Financing constraints; STOCK RETURNS; FINANCIAL CONSTRAINTS; EMPIRICAL-EVIDENCE; ISSUES PUZZLE; CASH FLOW; RISK; GROWTH; ARBITRAGE; BEHAVIOR; FUNDS;
D O I：
10.1016/j.jfineco.2010.06.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using financing constraints to proxy for investment frictions, we show only weak evidence that the investment-to-assets and asset growth effects in the cross section of returns are stronger in financially more constrained firms than in financially less constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues, abnormal corporate investment, or net operating assets anomalies. Limits-to-arbitrage proxies dominate q-theory with investment frictions in explaining the magnitude of the investment-to-assets and asset growth anomalies in direct comparisons. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：297 / 314
页数：18
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