Cash, investments and asset returns

被引：10

作者：

Huang, Dayong ^{[1
]}

Wang, Fang ^{[2
]}

机构：

[1] UNC Greensboro, Bryan Sch Business & Econ, Dept Accounting & Finance, Greensboro, NC 27402 USA

[2] Cent Washington Univ, Coll Business, Dept Finance & OSC, Ellensburg, WA 98926 USA

来源：

JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 12期

关键词：

Investments; Asset pricing; Cash; FINANCIAL CONSTRAINTS; CROSS-SECTION; FLOW SENSITIVITIES; PRICING-MODELS; STOCK-MARKET; DETERMINANTS; RISK; EQUILIBRIUM; HOLDINGS; DEMAND;

D O I：

10.1016/j.jbankfin.2009.06.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use an investment-based asset pricing model to examine the effect of firms' investments relative to cash holdings on stock returns, assuming holding cash lowers transaction costs. We find that mimicking portfolios based on investments relative to non-cash capital and based on investments relative to cash capital are priced for various testing portfolios. On average, momentum stocks and growth stocks are more sensitive to the factor constructed using investment relative to cash. (c) 2009 Elsevier B.V. All rights reserved.

引用

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页码：2301 / 2311

页数：11

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