investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the … approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not …” expected returns; the investment approach is no more and no less “causal” than the consumption approach in “explaining …

investor “rationality,” the relation must be “explained” by a risk (factor) model. The investment approach questions the … approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not …” expected returns; the investment approach is no more and no less “causal” than the consumption approach in “explaining …

cash flow hypothesis and signaling theory of dividends. Dividends and investment might be a tool to mitigate managerial … and investment. We analyzed 419 companies from the Warsaw Stock Exchange and covered the period of 2007-2020 with 4 …,760 firm-year observations. We prepared regression models for the dividend and investment ratio depending on the company …

We examine investment behavior when firms face costs in the access to external funds. We find that despite the … existence of liquidity constraints, standard investment regressions predict that cash flow is an important determinant of … investment only if one ignores q. Conversely, we also obtain significant cash flow effects even in the absence of financial …

that credit spreads and equity volatility represent. We focus on the investment channel. Using firm-level data, we find … that the sensitivity of investment to equity volatility is highly significant, but changes sign in the cross section of … using a simple structural model of credit risk and investment with debt overhang …

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset … anomaly. The estimated model generates large and significant size, momentum, profitability, investment, and intangibles …