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The first essay presents new empirical findings which are inconsistent with prominent theories on the investment premium. The investment premium is the positive stock return difierential between firms with low and high asset growth. Asset growth is the annual percentage change in total assets and is typically interpreted as the firm's investments. The investment premium is an integral part of recent factor models which are fundamental tools for both finance academics and practitioners. In the essay I present three new empirical findings. First, I show that firms with low asset growth on average have higher financial leverage. To the extent that firms with higher leverage have higher returns, cross-sectional difierences in leverage account for part of the investment premium. Second, I document that there is no investment premium among zero-leverage firms. Third, I nd that the investment premium increases with firms' refinancing intensities which are the ratio of short-term debt to total debt. These findings re ect firms' financing decisions and are inconsistent with prominent theories using firms' investment decisions to explain the investment premium. |
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Poulsen, Thomas Kjær VerfasserIn aut, Essays on asset pricing with financial frictions Thomas Kjær Poulsen, 1st edition, Frederiksberg, Danmark Copenhagen Business School 2019, 1 Online-Ressource (circa 213 Seiten), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, PhD series / Copenhagen Business School 2019, 19, Enthält mehrere Beiträge, Dissertation Copenhagen Business School 2019, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, The first essay presents new empirical findings which are inconsistent with prominent theories on the investment premium. The investment premium is the positive stock return difierential between firms with low and high asset growth. Asset growth is the annual percentage change in total assets and is typically interpreted as the firm's investments. The investment premium is an integral part of recent factor models which are fundamental tools for both finance academics and practitioners. In the essay I present three new empirical findings. First, I show that firms with low asset growth on average have higher financial leverage. To the extent that firms with higher leverage have higher returns, cross-sectional difierences in leverage account for part of the investment premium. Second, I document that there is no investment premium among zero-leverage firms. Third, I nd that the investment premium increases with firms' refinancing intensities which are the ratio of short-term debt to total debt. These findings re ect firms' financing decisions and are inconsistent with prominent theories using firms' investment decisions to explain the investment premium., DE-206 Namensnennung - Nicht kommerziell - Keine Bearbeitungen 4.0 International CC BY-NC-ND 4.0 cc https://creativecommons.org/licenses/by-nc-nd/4.0/, Zusammenfassung in dänischer Sprache, 1.1\x Kapitalmarkttheorie (DE-627)091370094 (DE-2867)12210-1 stw, 1.2\x Kapitalstruktur (DE-627)091370116 (DE-2867)12244-5 stw, 1.3\x Refinanzierung (DE-627)091385768 (DE-2867)13763-4 stw, 1.4\x Unternehmensanleihe (DE-627)091367190 (DE-2867)12247-6 stw, 1.5\x Rendite (DE-627)091386519 (DE-2867)12272-0 stw, 1.6\x Schuldenmanagement (DE-627)091354528 (DE-2867)11607-0 stw, 1.7\x Geld-Brief-Spanne (DE-627)091351723 (DE-2867)19538-2 stw, 1.8\x Finanzmarktökonometrie (DE-627)742271803 (DE-2867)29690-4 stw, Sammlung DE-206, Sammelwerk DE-206, Hochschulschrift (DE-588)4113937-9 (DE-627)105825778 (DE-576)209480580 gnd-content, 9788793744806, Handelshøjskolen i København PhD series 2019, 19 2019,19 (DE-627)589579150 (DE-576)9589579159 (DE-600)2474384-7, http://hdl.handle.net/10398/9734 Resolving-System kostenfrei, http://hdl.handle.net/10419/222893 Resolving-System kostenfrei, http://hdl.handle.net/10398/9734 LFER, LFER 2020-02-17T00:00:00Z |
| spellingShingle |
Poulsen, Thomas Kjær, Essays on asset pricing with financial frictions, Handelshøjskolen i København, PhD series, 2019, 19, The first essay presents new empirical findings which are inconsistent with prominent theories on the investment premium. The investment premium is the positive stock return difierential between firms with low and high asset growth. Asset growth is the annual percentage change in total assets and is typically interpreted as the firm's investments. The investment premium is an integral part of recent factor models which are fundamental tools for both finance academics and practitioners. In the essay I present three new empirical findings. First, I show that firms with low asset growth on average have higher financial leverage. To the extent that firms with higher leverage have higher returns, cross-sectional difierences in leverage account for part of the investment premium. Second, I document that there is no investment premium among zero-leverage firms. Third, I nd that the investment premium increases with firms' refinancing intensities which are the ratio of short-term debt to total debt. These findings re ect firms' financing decisions and are inconsistent with prominent theories using firms' investment decisions to explain the investment premium., Kapitalmarkttheorie, Kapitalstruktur, Refinanzierung, Unternehmensanleihe, Rendite, Schuldenmanagement, Geld-Brief-Spanne, Finanzmarktökonometrie, Sammlung, Sammelwerk, Hochschulschrift |
| title |
Essays on asset pricing with financial frictions |
| title_auth |
Essays on asset pricing with financial frictions |
| title_full |
Essays on asset pricing with financial frictions Thomas Kjær Poulsen |
| title_fullStr |
Essays on asset pricing with financial frictions Thomas Kjær Poulsen |
| title_full_unstemmed |
Essays on asset pricing with financial frictions Thomas Kjær Poulsen |
| title_in_hierarchy |
2019, 19. Essays on asset pricing with financial frictions (2019) |
| title_short |
Essays on asset pricing with financial frictions |
| title_sort |
essays on asset pricing with financial frictions |
| topic |
Kapitalmarkttheorie, Kapitalstruktur, Refinanzierung, Unternehmensanleihe, Rendite, Schuldenmanagement, Geld-Brief-Spanne, Finanzmarktökonometrie, Sammlung, Sammelwerk, Hochschulschrift |
| topic_facet |
Kapitalmarkttheorie, Kapitalstruktur, Refinanzierung, Unternehmensanleihe, Rendite, Schuldenmanagement, Geld-Brief-Spanne, Finanzmarktökonometrie, Sammlung, Sammelwerk, Hochschulschrift |
| url |
http://hdl.handle.net/10398/9734, http://hdl.handle.net/10419/222893 |
