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Optimal Investment, Growth Options and Security Returns

Author

Listed:
  • Jonathan Berk
  • Richard C. Green
  • Vasant Naik

Abstract

An explicit expression for a firm's expected return is developed in a dynamic model of investment at the firm level. Each period, the firm has an option to invest. Past investment decisions account for the firm's existing asset base which is assumed

Suggested Citation

  • Jonathan Berk & Richard C. Green & Vasant Naik, "undated". "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers 64, Carnegie Mellon University, Tepper School of Business.
  • Handle: RePEc:cmu:gsiawp:64
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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