Essays On Asset Pricing And Growth Effect
| dc.contributor | Prombutr, Wikrom | en_US |
| dc.date.accessioned | 2008-08-08T02:31:11Z | |
| dc.date.accessioned | 2011-08-24T21:41:35Z | |
| dc.date.available | 2008-08-08T02:31:11Z | |
| dc.date.available | 2011-08-24T21:41:35Z | |
| dc.date.issued | 2008-08-08T02:31:11Z | |
| dc.date.submitted | April 2008 | en_US |
| dc.description.abstract | This dissertation comprises two essays on growth effects and opportunities experienced by companies and their implications for asset pricing models. In the first essay, I develop and test a model to explain the empirically observed value-growth stock return effect using real options theory. I simulate results from a real options model for two firm types. One type, the "value" firm, has a single growth opportunity. The other type, the "growth" firm, has infinitely repeated growth opportunities. Growth firms: (1) invest sooner, (2) pursue less lumpy investment paths, (3) have lower book-to-market ratios, and (4) generate lower rates of return than value firms. In the second essay, I examine relationships between sustainable growth and subsequent stock returns. Findings indicate that high sustainable growth firms have low default risk, low book-to-market ratio, and low subsequent returns. Cross-sectional tests indicate that sustainable growth subsumes the book-to-market equity ratio. | en_US |
| dc.identifier.uri | http://hdl.handle.net/10106/948 | |
| dc.language.iso | EN | en_US |
| dc.publisher | Finance & Real Estate | en_US |
| dc.title | Essays On Asset Pricing And Growth Effect | en_US |
| dc.type | Ph.D. | en_US |