Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090363 | Journal of Banking & Finance | 2009 | 11 Pages |
Abstract
We use an investment-based asset pricing model to examine the effect of firms' investments relative to cash holdings on stock returns, assuming holding cash lowers transaction costs. We find that mimicking portfolios based on investments relative to non-cash capital and based on investments relative to cash capital are priced for various testing portfolios. On average, momentum stocks and growth stocks are more sensitive to the factor constructed using investment relative to cash.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dayong Huang, Fang Wang,