TAILIEUCHUNG - OPTIMAL INVESTMENT, GROWTH OPTIONS, AND SECURITY RETURNS

The large loss effect that we report reinforces the findings of Kamstra, Kramer, and Levi (2000), who document a stock market effect of similar magnitude in response to the daylight saving clock change. While Pinegar (2002) argues that the “daylight saving anomaly” is sensitive to outliers, our effect remains economically and statistically significant even after removing outliers in the data and applying a number of robustness checks. Another contribution of this paper is that we are able to go a long way towards addressing the main disadvantage of the event approach. Our sample of soccer matches exceeds 1,100 observations, and exhibits significant cross-sectional variation across nations. In. | Optimal Investment Growth Options and Security Returns Jonathan B. Berk Richard c. Green Vasant Naik STOR The Journal of Finance Vol. 54 No. 5. Oct. 1999 pp. 1553-1607. Stable URL http sici sici 0022-1082 28199910 2954 3A5 3C1553 3AOIGOAS 3B2-5 The Journal of Finance is currently published by American Finance Association. Your use of the JSTOR archive indicates your acceptance of JSTOR s Terms and Conditions of Use available at http about . JSTOR s Terms and Conditions of Use provides in part that unless you have obtained prior permission you may not download an entire issue of a journal or multiple copies of articles and you may use content in the JSTOR archive only for your personal non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at http joumals . Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is an independent not-for-profit organization dedicated to creating and preserving a digital archive of scholarly journals. For more information regarding JSTOR please contact support@. http Wed May 24 10 31 18 2006 THE JOURNAL OF FINANCE VOL. LIV NO. 5 OCTOBER 1999 Optimal Investment Growth Options and Security Returns JONATHAN B. BERK RICHARD c. GREEN and VASANT NAIK ABSTRACT As a consequence of optimal investment choices a firm s assets and growth options change in predictable ways. Using a dynamic model we show that this imparts predictability to changes in a firm s systematic risk and its expected return. Simulations show that the model simultaneously reproduces i the time-series relation between the book-to-market ratio and asset returns ii the cross-sectional relation between book-to-market market value and return iii contrarian effects at short horizons iv momentum effects at .

• Đầu tư Chứng khoán
• Preconstruction Sales
• Aircraft Exchanges
• Immunotherapy
• Overview
• Bacterial Immunotherapy
• Antitumoral Potential