Returns to Scale and Asset Prices

Title	Returns to Scale and Asset Prices
Creator	湛可南 Chan, Konan Chen, Hung-Kun Wang, Yanzhi
Contributor	財管系
Date	2019-11
Date Issued	27-Apr-2020 16:01:24 (UTC+8)
Summary	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.
Relation	Journal of Business Finance & Accounting, v.46, no.9-10, pp.1299-1318
Type	article
DOI	https://doi.org/10.1111/jbfa.12408

dc.contributor	財管系	-
dc.creator (作者)	湛可南	-
dc.creator (作者)	Chan, Konan	-
dc.creator (作者)	Chen, Hung-Kun	-
dc.creator (作者)	Wang, Yanzhi	-
dc.date (日期)	2019-11	-
dc.date.accessioned	27-Apr-2020 16:01:24 (UTC+8)	-
dc.date.available	27-Apr-2020 16:01:24 (UTC+8)	-
dc.date.issued (上傳時間)	27-Apr-2020 16:01:24 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/129512	-
dc.description.abstract (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.	-
dc.format.extent	1116779 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation (關聯)	Journal of Business Finance & Accounting, v.46, no.9-10, pp.1299-1318	-
dc.title (題名)	Returns to Scale and Asset Prices	-
dc.type (資料類型)	article	-
dc.identifier.doi (DOI)	10.1111/jbfa.12408	-
dc.doi.uri (DOI)	https://doi.org/10.1111/jbfa.12408	-