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Asset prices and real investment

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  • Kogan, Leonid
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 73 (2004)
    Issue (Month): 3 (September)
    Pages: 411-431

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    Handle: RePEc:eee:jfinec:v:73:y:2004:i:3:p:411-431

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    Web page: http://www.elsevier.com/locate/inca/505576

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    1. Pindyck, Robert S., 1986. "Irreversible investment, capacity choice, and the value of the firm," Working papers 1802-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Berk, Jonathan B, 1995. "A Critique of Size-Related Anomalies," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 275-86.
    3. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-28, September.
    4. Robert E. Hall, 2000. "The stock market and capital accumulation," Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
    5. Andrew B. Abel & Janice C. Eberly, 1993. "A Unified Model of Investment Under Uncertainty," NBER Working Papers 4296, National Bureau of Economic Research, Inc.
    6. Basu, Parantap & Chib, Siddhartha, 1985. "Equity premium in a production economy : A parametric example," Economics Letters, Elsevier, vol. 18(1), pages 53-58.
    7. Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999. "Optimal Investment, Growth Options, and Security Returns," Journal of Finance, American Finance Association, vol. 54(5), pages 1553-1607, October.
    8. Leahy, John V & Whited, Toni M, 1996. "The Effect of Uncertainty on Investment: Some Stylized Facts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 64-83, February.
    9. Dow, J.P.J. & Olson, L.J., 1990. ""Irreversibility and the Behavior of Aggregate Stochastic Growth Models"," The A. Gary Anderson Graduate School of Management 90-10, The A. Gary Anderson Graduate School of Management. University of California Riverside.
    10. Lu Zhang, 2005. "The Value Premium," Journal of Finance, American Finance Association, vol. 60(1), pages 67-103, 02.
    11. Coleman Ii, Wilbur John, 1997. "Behavior Of Interest Rates In A General Equilibrium Multisector Model With Irreversible Investment," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 206-227, January.
    12. Basu, Parantap, 1987. "An Adjustment Cost Model of Asset Pricing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 609-21, October.
    13. Huffman, Gregory W, 1985. " Adjustment Costs and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 40(3), pages 691-705, July.
    14. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
    15. Benavie, Arthur & Grinols, Earl & Turnovsky, Stephen J., 1996. "Adjustment costs and investment in a stochastic endogenous growth model," Journal of Monetary Economics, Elsevier, vol. 38(1), pages 77-100, August.
    16. Dixit, Avinash, 1991. "Irreversible Investment with Price Ceilings," Journal of Political Economy, University of Chicago Press, vol. 99(3), pages 541-57, June.
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    Cited by:
    1. Hernán Ortiz-Molina & Gordon M. Phillips, 2010. "Asset Liquidity and the Cost of Capital," NBER Working Papers 15992, National Bureau of Economic Research, Inc.
    2. Evgeny Lyandres & Le Sun & Lu Zhang, 2005. "Investment-Based Underperformance Following Seasoned Equity Offerings," NBER Working Papers 11459, National Bureau of Economic Research, Inc.
    3. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    4. Joao F. Gomes & Leonid Kogan & Motohiro Yogo, 2007. "Durability of Output and Expected Stock Returns," NBER Working Papers 12986, National Bureau of Economic Research, Inc.
    5. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    6. Daouk, Hazem & Ng, David, 2011. "Is unlevered firm volatility asymmetric?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 634-651, September.
    7. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    8. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
    9. Aggarwal, Raj & Zhao, Xinlei, 2008. "Significant issuance date returns in seasoned equity offerings: An options-based resolution of a puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 793-804, December.
    10. Naiping Lu & Lu Zhang, 2005. "The Value Spread as a Predictor of Returns," NBER Working Papers 11326, National Bureau of Economic Research, Inc.
    11. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    12. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
    13. Guthrie, Graeme, 2013. "A value premium without operating leverage," Finance Research Letters, Elsevier, vol. 10(1), pages 1-11.
    14. Erica X. N. Li & Dmitry Livdan & Lu Zhang, 2009. "Anomalies," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4301-4334, November.
    15. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    16. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
    17. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.

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