search query: @author Green, R. C. / total: 10
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| Author: | Berk, J. B. Green, R. C. Naik, V. |
| Title: | Optimal investment, growth options, and security returns |
| Journal: | Journal of Finance
1999 : OCT, VOL. 54:5, p. 1553-1607 |
| Index terms: | Securities Stock markets Investments Policy Risk Rate of return Models USA |
| Language: | eng |
| Abstract: | As a consequence of optimal investment choices, firm's assets and growth options change in predictable ways. Using a dynamic model, it is shown in this paper that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show results that the model simultaneously reproduces. |
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