Empirical Evidence on Capital Investment, Growth Options, and Security Returns
by
Christopher W. Anderson
,
Luis Garcia-feijóo
| Citations: | 8 - 0 self |
BibTeX
@MISC{Anderson_empiricalevidence,
author = {Christopher W. Anderson and Luis Garcia-feijóo},
title = {Empirical Evidence on Capital Investment, Growth Options, and Security Returns},
year = {}
}
Bookmark
 |
 |
 |
 |
 |
 |
OpenURL
Abstract
Growth in capital expenditures conditions subsequent classification of firms to portfolios based on size and book-to-market ratios, as in the widely used Fama and French (1992, 1993) methods. Growth in capital expenditures also explains returns to portfolios and the crosssection of future stock returns. These findings are consistent with recent theoretical models (e.g., Berk, Green, and Naik (1999)) in which the exercise of investment growth options results in changes in both valuation and expected stock returns.
