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    題名: Returns to scale and asset prices
    作者: Chen, Hung-Kun;Chan, Konan;Wang, Yanzhi
    關鍵詞: asset growth;investment;net share issuance;q-theory;returns to scale
    日期: 2019-09-13
    上傳時間: 2019-11-19 12:10:13 (UTC+8)
    出版者: John Wiley & Sons Ltd
    摘要: The q-theory of investment is proposed to explain firm growth effects, where previous papers identify a negative effect of firm growth, including asset growth, real investment, and net share issuance, on future stock returns. This paper uses returns to scale from the production function to test the dynamic q-theory, which predicts that the firm growth effect is theoretically weaker for firms with decreasing returns to scale (DRS) than for non-DRS firms. Our empirical results generally support the prediction of dynamic q-theory. However, we find that the dynamic q-theory explains little of the value, momentum, and ROE effects from the standpoint of returns to scale.
    關聯: Journal of Business Finance & Accounting 46(9-10), p.1299-1318
    DOI: 10.1111/jbfa.12408
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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