histories of each firm and study performance measures at the transaction and investment levels. Many investments result in total … differing returns even in the same investment. This arises not just because they invest on different terms, but because they … indicative of the market frictions associated with early-stage investment in innovation …

Recent research finds that cross-sectional return dispersion provides a risk-based explanation for some investment … anomalies, including accrual, investment, and momentum strategies. This study extends the analyses of return dispersion to a … conclude that market risk related to return dispersion plays an important role in many investment anomalies …

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 …

firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … strips. Our model delivers testable predictions about the behavior of firm-level real variables - investment and output …