CARLSON, MURRAY; FISHER, ADLAI; GIAMMARINO, RON - In: Journal of Finance 59 (2004) 6, pp. 2577-2603
We show that corporate investment decisions can explain the conditional dynamics in expected asset returns. Our approach is similar in spirit to <link rid="b2">Berk, Green, and Naik (1999)</link>, but we introduce to the investment problem operating leverage, reversible real options, fixed adjustment costs, and...