| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17251 |
| DP17251 The Wealth Creation Effect in Stock Returns | |
| Francesco Franzoni; Daniel Obrycki; Rafael Resendes | |
| 发表日期 | 2022-04-25 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | In the asset pricing literature, higher investment is associated with lower expected stock returns. On the other hand, practitioners view investment as a value-creating activity when it generates payoffs above the cost of capital. The paper reconciles these views. Starting from a discounted cash-flow tautology, we argue that expected returns correlate positively with expected investment whenever the return on equity is large enough. We label this prediction the wealth creation effect. The empirical evidence supports this channel. The interaction of profitability and investment positively correlates with stock returns controlling for the usual characteristics. A wealth creation factor earns a premium of about 24bps per month leading to sizeable Sharpe ratio improvements relative to popular factor models. |
| 主题 | Financial Economics |
| 关键词 | Profitability factor Investment factor Asset pricing Net-present value Wealth creation |
| URL | https://cepr.org/publications/dp17251 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546260 |
| 推荐引用方式 GB/T 7714 | Francesco Franzoni,Daniel Obrycki,Rafael Resendes. DP17251 The Wealth Creation Effect in Stock Returns. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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