Firm Migration and Stock Returns

This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall capital of the economy. Positive shocks to the capital ofthe rm increase the size of the rm and reduce the value of growthoptions.[...]

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Year of publication:	2009-06-24
Authors:	Puopolo, Giovanni W.
Institutions:	Finrisk
Subject:	Preisbildung \| pricing \| Börse \| bourse \| Migration \| migration \| Kapitalstock

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1 Introduction
2 Related Literature
3 The Model
4 Equilibrium Behavior
4.1 Optimal Investment
4.2 Tobin q and Firm Migration
4.3 The cross section of stock returns
4.4 Tobin´s q and Conditional Volatility
4.5 Stock Returns and Capital Asset Pricing Models
4.6 Quasi-Fixed Investment Costs
4.7 Calibration
5 Conclusion
6 References
7 Appendix
7.1 Homogeneity property
7.2 The Risk-free rate
7.3 Optimality of the investment policy

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