This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns …. Based on a real options framework, we incorporate the learning-by-doing effect to analyze the irreversible investment … problem. In our investment decision framework, the timing of expansion is endogenous and results from a value …

in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value …

returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average … levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios … sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return …

returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average … levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios … sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return …

premia across U.S. industries and show that the negative investment-return relation implied by q-theory is steeper for firms … paying high wage premia than for firms paying low wage premia. An extended investment-based model predicts the interaction … effect, showing the labor adjustment costs as key channel driving investment-return sensitivity. The inflexibility induced by …