Returns to scale and asset prices
The q‐theory of investment is proposed to explain firm growth effects, where previous papers identify a negative effect of firm growth, including asset growth, real investment and net share issuance, on future stock returns. This paper uses returns to scale from the production function to test the d...
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| Veröffentlicht in: | Journal of business finance & accounting 2019-10, Vol.46 (9-10), p.1299-1318 |
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| container_issue | 9-10 |
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| container_title | Journal of business finance & accounting |
| container_volume | 46 |
| creator | Chen, Hung‐Kun Chan, Konan Wang, Yanzhi |
| description | The q‐theory of investment is proposed to explain firm growth effects, where previous papers identify a negative effect of firm growth, including asset growth, real investment and net share issuance, on future stock returns. This paper uses returns to scale from the production function to test the dynamic q‐theory, which predicts that the firm growth effect is theoretically weaker for firms with decreasing returns to scale (DRS) than for non‐DRS firms. Our empirical results generally support the prediction of dynamic q‐theory. However, we find that the dynamic q‐theory explains little of the value, momentum and ROE effects from the standpoint of returns to scale. |
| doi_str_mv | 10.1111/jbfa.12408 |
| format | Article |
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| identifier | ISSN: 0306-686X |
| ispartof | Journal of business finance & accounting, 2019-10, Vol.46 (9-10), p.1299-1318 |
| issn | 0306-686X 1468-5957 |
| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete |
| subjects | asset growth Assets Economic models G12 G14 investment Investments net share issuance Prices q‐theory returns to scale |
| title | Returns to scale and asset prices |
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