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

被引：148

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

页码：297 / 314

页数：18

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