Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment

By Ilan Cooper. 2006

353 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/b1533e20326e3f18a4a969bd99058f9529c34d1e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Amit Goyal
2. Turan G. Bali
3. Lu Zhang
4. Hui Guo
5. R. Savickas
6. Christian Lundblad
7. Daniel A. Cohen

In Finance

1. Amit Goyal
2. Turan G. Bali
3. Lu Zhang
4. Hui Guo
5. Christian Lundblad
6. R. Savickas
7. Daniel A. Cohen

In Strategy and Management

1. Amit Goyal

Citations in the corpus

• Real investment and risk dynamics (2011, neutral): “…and growth options (see, for example, Berk, Green and Naik (1999) Liew and Vassalou (2000), Carlson, Fisher and Giammarino (2004), Zhang (2005) and Cooper (2006)). wml has been related to systematic risk in Conrad and Kaul (1998), Chordia and Shivakumar (2002), Berk, Green and Naik (1999),…”
• Value Versus Growth: Time-Varying Expected Stock Returns (2011, neutral): “…that the effect of costly reversibility on risk and expected returns discussed by Zhang (2005) in the industry equilibrium model continues to hold in a general equilibrium model.2 The effect of costly reversibility on risk and expected returns are also studied by Kogan (2004) and Cooper (2006).”
• Financially Constrained Stock Returns (2009, neutral): “This inflexibility mechanism has been used before to understand the equity premium and the value premium (e.g., Jermann 1998, Zhang 2005, Cooper 2006).”
• Endogenous Technological Progress and the Cross Section of Stock Returns (2012, neutral): “…list of studies exploring why book-to-market ratio positively forecasts average stock returns includes Carlson, Fisher and Giammarino (2004), Zhang (2005), Cooper (2006), etc. rms have low expected physical investment returns because they have high physical investment with low book-to-market ratio.”
• Real Asset Illiquidity and the Cost of Capital (2014, neutral): “Zhang (2005), and Cooper (2006)).”
• Asset prices and real investment (2004, neutral): “Two recent papers by Cooper (2003) and Carlson, Fisher and Giammarino (2003) also attempt to explain the value premium in stock returns using an investment-based model.”
• Technological Growth and Asset Pricing (2012, neutral): “Horizon (T) 1 2 3 7 11 15 19 Panel A β 0.064 0.137 0.214 0.458 0.547 0.566 0.655 t-stat (Newey-West) 3.149 3.634 3.964 4.195 3.680 2.850 2.728 t-stat (Hodrick) 3.277 3.519 3.652 3.567 3.682 2.948 3.011 Adjusted R2 0.066 0.123 0.166 0.229 0.181 0.134 0.140 Exp. Component 0.296 0.367 0.379 0.878 0.864”
• Labor Unions, Operating Flexibility, and the Cost of Equity (2010, neutral): “Since the theory (e.g., Gomes et al. (2003), Zhang (2005), Cooper (2006), and Merz and Yashiv (2007)) shows that costly adjustment and irreversibility should be positively related to required stock returns in the cross section, we predict a positive relation between unionization and the cost of…”
• CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, neutral): “Gomes, Kogan and Zhang (2003), Carlson, Fisher and Giammarino (2004), Cooper (2006), and Zhang (2005) provide several additional insights by building on the Berk, Green and Naik (1999) framework.”
• Corporate Real Estate Holdings and the Cross-Section of Stock Returns (2010, neutral): “Recently, several articles have studied the asset pricing implications of models with irreversible investment (Berk, Green, and Naik 1999; Gomes, Kogan, and Zhang 2003; Kogan 2004; Cooper 2006), which prohibit disinvestment completely.”