processes for asset returns also imply very little difference between portfolios calculated ignoring changes in the investment … opportunity set and those obtained when the investment opportunity set changes over time …

We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM-betas and project returns. Our findings justify the …

firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … CAPM to price portfolio returns of firms sorted on characteristics; iv) the time-series predictability of market portfolio … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …

remain so for many years. The efficiency of its financial system in allocating capital to investment will be important to … last two decades is highly correlated with that of corporate investment efficiency. China's stock market appears to be … access it. Yet this high alpha amounts to an inflated cost of equity capital, constraining the investment of China's smaller …

-to-market, profitability or investment) associated with average returns. The goal of this exercise is to create a parsimonious set of factor …

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 … returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll and …

quarters of the variation in real annual aggregate investment growth between 1948 and 1993. The negative correlation of … contemporaneous investment and stock returns is explained by the negative correlation of planned investment and subsequent stock … returns. Unexpected revisions to aggregate investment (actual minus plan) within a year are essentially unrelated to current …