The Cross-Section of Industry Investment Returns

41 Pages Posted: 17 Mar 2012 Last revised: 22 Mar 2013

See all articles by Ilan Cooper

Ilan Cooper

BI Norwegian Business School

Richard Priestley

Norwegian Business School

Multiple version iconThere are 2 versions of this paper

Date Written: September 6, 2012

Abstract

Firm level characteristics explain the cross section of investment returns of industry portfolios that include listed and unlisted …firms. Moreover, common asset pricing models explain the cross-sectional variation of characteristic-based investment returns which include listed and unlisted …firms. Assuming that managers of unlisted fi…rms are less likely to be affected by investor misvaluation and are less likely to overinvest, our results are consistent with a rational interpretation of the role of characteristics. Given a portfolio characteristic, there are no systematic differences in expected investment returns for listed and unlisted fi…rms suggesting their cost of equity are unrelated to whether a …rm is listed or unlisted.

Keywords: Real Investment, Systematic Risk, Mispricing, q-theory, Investment Returns, Cost of Capital, Private Firms, Public Firms

JEL Classification: G0, G12, G31

Suggested Citation

Cooper, Ilan and Priestley, Richard, The Cross-Section of Industry Investment Returns (September 6, 2012). Available at SSRN: https://ssrn.com/abstract=2023921 or http://dx.doi.org/10.2139/ssrn.2023921

Ilan Cooper

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Richard Priestley (Contact Author)

Norwegian Business School ( email )

Nydalsveien
37
N-0442 Oslo, 0283
Norway
47 46410515 (Phone)

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