We explore the impact of investment-specific technology (IST) shocks on the crosssection of stock returns. IST shocks … asset returns and investment rates …

, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset …

What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with … uncertain payoffs? The standard CAPM formula suggests a beta-weighted average of the return on a safe investment and the mean … return on an economy-wide representative risky investment. Suppose, though, that the project constitutes a tail …

We examine the extent to which uncertainty delays investment and the effect of competition on this relationship using a … increase in the return volatility reduces the probability of investment by 13 percent, equivalent to a 9 percent decline in …

This paper tests a factor pricing model for stock returns. The factors are returns on physical investment, inferred … from investment data via a production function. The tests examine the model's ability to explain the variation in expected … investment return factors drive out all the other models. The paper also provides an easy technique for estimating and testing …

endogenous relation between a shock's persistence and the magnitude of the induced price jump. As the number of frequencies …