Asset pricing implications of nonconvex adjustment cost and irreversibility of investment

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Asset pricing implications of nonconvex adjustment cost and irreversibility of investment

Cooper, Ilan - ;

This paper derives a real options model that accounts for the value premium. If real investment is largely irreversible, the book value of assets of a distressed firm is high relative to its market value because it has idle physical capital. The firm's excess installed capital capacity enables it to fully benefit from positive aggregate shocks without undertaking costly investment. Thus, returns to equity holder of a high book-to-market firm are sensitive to aggregate conditions and its systematic risk is high. Simulation indicate that the model goes a long way toward accounting for the observed value premium..Printed Journal

Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	The American Finance Association.,
Edisi	-
Subjek	Economic models Real options analysis Stock prices Correlation analysis Market value Business valuation studies
ISBN/ISSN	221082
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data