题名

Can Momentum and Other Risk Factors Predict Capital Investiment Growth?

DOI

10.6292/AFPF.2012.05.10

作者

Eric Fricke；Scott Fung

关键词

Stock Returns ； Corporate Investment ； Risk Factors ； Momentum

期刊名称

Advances in Financial Planning and Forecasting

卷期/出版年月

5期（2012 / 12 / 01）

页次

231 - 257

内容语文

英文
英文摘要

Asset pricing factors should not only predict stock returns, but also link to economic risk. For the size, value and liquidity factors, previous studies have established these links, but for momentum the results have been inconclusive. This paper investigates the potential economic risk in momentum by linking the momentum factor to economic activity as measured by capital investment growth. Our results support a risk-based argument for momentum as momentum is related to investment growth but independent of the term premium, default premium, dividend yield, and risk-free rate. Moreover, the sensitivity of investment to momentum is dependent on firm size, information asymmetries and debt levels. We also find evidence that investment sensitivity to the liquidity factor is dependent on firm size and information asymmetries.
主题分类 社會科學 > 經濟學
参考文献
  1. Cochrane, J. H. (2005). Financial markets and the real economy. Working paper, University of Chicago, Chicago, IL.
  2. Lou, X., & Sadka, R. (2010). Liquidity level or liquidity risk? Evidence from the financial crisis. Working paper, University of Delaware, Newark, DE. Retrieved October 25, 2010, from http://ssrn.com/abstract=1622885
  3. Fama, E. F., & French, K. R. (1989). Business conditions and expected stock returns. Unpublished manuscript, University of Chicago, Chicago, IL..
  4. Baker, M.,Stein, J.,Wurgler, J.(2003).When does the market matter? Stock prices and the investment of equity-dependent firms.Quarterly Journal of Economics,118,969-1006.
  5. Ball, R.(1978).Anomalies in relationships between securities' yields and yieldsurrogates.Journal of Financial Economics,6,103-126.
  6. Barberis, N.,Shleifer, A.,Vishny, R.(1998).A model of investor sentiment.Journal of Financial Economics,49,307-343.
  7. Barro, R. J.(1990).The stock market and investment.Review of Financial Studies,3,115-131.
  8. Bencivenga, V. R.,Smith, B. D.,Starr, R. M.(1995).Liquidity of secondary capital markets: Allocative efficiency and the maturity composition of the capital stock.Economic Theory,7,19-50.
  9. Blanchard, O.,Rhee, C.,Summers, L.(1993).The stock market, profit, and investment.Quarterly Journal of Economics,108,115-136.
  10. Carhart, M. M.(1997).On persistence in mutual fund performance.Journal of Finance,52,57-82.
  11. Chen, Q.,Goldstein, I.,Jiang, W.(2007).Price informativeness and investment sensitivity to stock price.Review of Financial Studies,20,619-650.
  12. Chordia, T.,Shivakumar, L.(2002).Momentum, business cycle, and timevarying expected returns.The Journal of Finance,57,985-1019.
  13. Cochrane, J. H.(1991).Production-based asset pricing and the link between stock returns and economic fluctuations.Journal of Finance,46,209-237.
  14. Constantinides, G. M.(Ed.),Harris, M.(Ed.),Stulz, R.(Ed.)(2003).Handbook of the economics of finance.Amsterdam:Elsevier B.V..
  15. Cooper, M. J.,Gutierrez, R. C., Jrog,Hameed, A.(2004).Market states and momentum.Journal of Finance,59,1345-1365.
  16. Daniel, K.,Hirshleifer, D.,Subrahmanyam, A.(1998).Investor psychology and security market under- and overreactions.Journal of Finance,53,1839-1885.
  17. Dow, J.,Gorton, G.(1997).Stock market efficiency and economic efficiency: Is there a connection?.Journal of Finance,52,1087-1129.
  18. Easley, D.,Hvidkjaer, S.,O''Hara, M.(2002).Is information risk a determinant of asset returns?.Journal of Finance,57,2185-2221.
  19. Fama, E. F.,French, K. R.(2001).Disappearing dividends: Changing firm characteristics or lower propensity to pay?.Journal of Financial Economics,60,6-43.
  20. Fama, E. F.,French, K. R.(1993).Common risk factors in the returns on stocks and bonds.Journal of Financial Economics,33,3-56.
  21. Ferson, W. E.(1989).Changes in expected security returns, risk, and the level of interest rates.Journal of Finance,44,1191-1217.
  22. Ferson, W. E.,Harvey, C. R.(1991).The variation of economic risk premiums.Journal of Political Economy,99,385-415.
  23. Griffin, J. M.,Ji, X.,Martin, J.(2003).Momentum investing and business cycle risk: Evidence from pole to pole.Journal of Finance,58,2515-2547.
  24. Hahn, J.,Lee, H.(2006).Yield spreads as alternative risk factors for size and book-to-market.Journal of Financial and Quantitative Analysis,41,245-269.
  25. Harvey, C. R.(1989).Time-varying conditional covariance's in test of asset pricing models.Journal of Financial Economics,24,289-317.
  26. Hoitash, R.,Krishnan, M.(2008).Herding, momentum and investor overreaction.Review of Quantitative Finance and Accounting,30,25-47.
  27. Hong, H.,Lim, T.,Stein, J. C.(2000).Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies.Journal of Finance,55,265-295.
  28. Hong, H.,Stein, J. C.(1999).A unified theory of underreaction, momentum trading, and overreaction in asset markets.Journal of Finance,54,2143-2184.
  29. Jegadeesh, N.(1990).Evidence of predictable behavior of security returns.Journal of Finance,45,881-898.
  30. Jegadeesh, N.,Titman, S.(1993).Returns to buying winners and selling losers: Implications for stock market efficiency.Journal of Finance,48,65-91.
  31. Jiang, G.,Li, D.,Li, G.(2012).Capital investment and momentum strategies.Review of Quantitative Finance and Accounting,39,165-188.
  32. Keim, D. B.,Stanbaugh, R. F.(1986).Predicting returns in the stock and bond markets.Journal of Financial Economics,17,357-390.
  33. Lakonishok, J.,Shleifer, A.,Vishny, R. W.(1994).Contrarian investment, extrapolation, and risk.Journal of Finance,49,1541-1578.
  34. Lamont, O. A.(2000).Investment plans and stock returns.Journal of Finance,55,2719-2745.
  35. Lamont, O. A.,Stein, J. C.(2006).Investor sentiment and corporate finance: Micro and macro.American Economic Review,96,147-151.
  36. Lehman, B.(1990).Residual risk revisited.Journal of Econometrics,45,71-97.
  37. Lettau, M.,Ludvigson, S.(2002).Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment.Journal of Monetary Economics,49,31-66.
  38. Li, C.-A.,Yeh, C.-C.(2011).Investor psychological and behavioral bias: Do high sentiment and momentum exist in the China stock market?.Review of Pacific Basin Financial Markets and Policies,14,429-448.
  39. Liew, J.,Vassalou, M.(2000).Can book-to-market, size and momentum be risk factors that predict economic growth?.Journal of Financial Economics,57,221-245.
  40. Morck, R.,Shleifer, A.,Vishny, R. W.(1990).The stock market and investment: Is the market a sideshow?.Brookings Paper on Economic Activity,21,157-216.
  41. Næs, R.,Skjeltorp, J. A.,Ødegaard, B. A.(2011).Stock market liquidity and the business Cycle.Journal of Finance,66,139-176.
  42. Nguyen, A.,Faff, R.,Gharghori, P.(2009).Are the Fama-French factors proxying news related to GDP growth? The Australian evidence..Review of Quantitative Finance and Accounting,33,141-158.
  43. Pástor, L.,Stambaugh, R. F.(2003).Liquidity risk and expected stock returns.Journal of Political Economy,111,642-685.
  44. Petkova, R.(2006).Do the Fama-French factors proxy for innovations in predictive variables?.Journal of Finance,61,581-612.
  45. Titman, S.,Wei, K. C. J.,Xie, F.(2004).Capital investments and stock returns.Journal of Financial and Quantitative Analysis,39,677-700.
  46. Vassalou, M.(2003).News related to future GDP growth as a risk factor in equity returns.Journal of Financial Economics,68,47-73.
  47. Vassalou, M.,Xing, Y.(2004).Default risk in equity returns.Journal of Finance,59,831-868.
  48. Wurgler, J.(2000).Financial markets and the allocation of capital.Journal of Financial Economics,58,187-214.
  49. Zhang, L.(2005).The value premium.Journal of Finance,60,67-103.
print cancel