Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns

By Murray D. Carlson, Adlai J. Fisher, Ron Giammarino. 2004

786 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/4886203c303d73b61538ff8f35a58b54bda28480

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Citations in the corpus

Digesting Anomalies: An Investment Approach (2015, background): “Berk, Green, and Naik (1999); Carlson, Fisher, and Giammarino (2004); and Zhang (2005) 652 Downloaded from https://academic.oup.com/rfs/article-abstract/28/3/650/1574802 by guest on 27 July 2018 [16:13 2/2/2015 RFS-hhu068.tex] Page: 653 650–705”
Empirical cross-sectional asset pricing: a survey (2011, background): “Gomes et al. (2003), Carlson et al. (2004), Cooper (2006), and Zhang (2005) build on these insights to show the departures from CAPM can be rationalized in a world with investment costs and/or irreversibility of investments.”
Precautionary Savings with Risky Assets: When Cash Is Not Cash (2016, neutral): “If the reason for taking risk with the firm’s reserves is to hedge against growth opportunities (Carlson, Fisher, and Giammarino (2004)), then one would expect the firm to hold equity-like securities.”
The term structures of equity and interest rates (2011, neutral): “…closely relate to the present study in that they model value and growth stocks based on their underlying cash flows (Berk, Green, and Naik, 1999; Carlson, Fisher, and Giammarino, 2004; Gomes, Kogan, and Zhang, 2003; Hansen, Heaton, and Li, 2008; Kiku, 2006; Lettau and Wachter, 2007; Santos and…”
The New Issues Puzzle: Testing the Investment-Based Explanation (2008, positive): “In the real options model of Carlson, Fisher, and Giammarino (2004), expansion options are riskier than assets in place.”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, background): “22A growing literature highlights the importance of doing this, as opposed to simply averaging over equilibrium credit spreads and risk premia, where every firm has the same earnings level (see e.g., Berk et al. (1999), Carlson et al. (2004), and Strebulaev (2007)).”
Growth Opportunities, Technology Shocks, and Asset Prices (2014, positive): “In financial economics, the idea that growth opportunities may have different risk characteristics than assets in place is not new (e.g., Berk, Green, and Naik (1999); Gomes, Kogan, and Zhang (2003); Carlson, Fisher, and Giammarino (2004); Zhang (2005)).”
The cross-section of labor leverage and equity returns (2016, neutral): “In the interest of clarity, we use a two-period 3Other papers that relate labor to finance issues are Peterson (1994), Santos and Veronesi (2006), Merz and Yashiv (2007), Chen and Zhang (2011), Chen et al. (2012), Berk and Walden (2013), Eisfeldt and Papanikolaou (2013), Belo, Lin, and Bazdresch (20”
Network Centrality and the Cross Section of Stock Returns (2013, background): “Another line of research connects betas to corporate policy in production-based models of investment (e.g., Berk, Green, and Naik, 1999; Gomes, Kogan, and Zhang, 2003; Carlson, Fisher, and Giammarino, 2004).”
Strategic default and equity risk across countries (2012, methodology): “As suggested by Carlson, Fisher, and Giammarino (2004) we control for Size in order to capture di¤erences in rm maturity and for Book-to-market in order to capture di¤erences in operational leverage.”
Real Asset Illiquidity and the Cost of Capital (2014, methodology): “In contrast, the ICC detects a positive intertemporal risk-return tradeoff (Pástor, Sinha, and Swaminathan (2008)) and a positive relation between distress risk and expected returns (Chava and Purnanandam (2010)).(2) For robustness, we also measure expected returns using Fama and French’s (1993) thr”
The expected cost of default (2016, background): “Using risk-neutral 10Recent examples in this literature include Gomes and Schmid (2010), Garlappi and Yan (2010), Berk, Green, and Naik (1999), Carlson, Fisher, and Giammarino (2004), and Gomes, Kogan, and Zhang (2003), as well as the previously mentioned Bhamra, Kuehn, and Strebulaev (2009a,b),…”
Can Growth Options Explain the Trend in Idiosyncratic Risk (2008, background): “Miles (1987); Berk, Green, and Naik (1999); Jacquier, Titman, and Yalcin (2001); and Carlson, Fisher, and Giammarino (2003) ”