Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment

2006 ◽  
Vol 61 (1) ◽  
pp. 139-170 ◽  
Author(s):  
ILAN COOPER
Keyword(s):  
Asset Pricing ◽  
Adjustment Costs

scholarly journals Labor and the Market Value of the Firm

2007 ◽  
Vol 97 (4) ◽  
pp. 1419-1431 ◽  
Author(s):  
Monika Merz ◽  
Eran Yashiv
Keyword(s):  
Asset Pricing ◽  
Dynamic Behavior ◽  
Investment Decisions ◽  
Market Value ◽  
Adjustment Costs ◽  
Pricing Model ◽  
Corporate Sector ◽  
Asset Pricing Model ◽  
Sector Data ◽  
Forward Looking

What role does labor play in firms' market value? We use a production-based asset pricing model with factor adjustment costs and forward-looking agents to explore this question. We posit that the hiring of labor is akin to investment in capital and that the two interact, with the interaction being a crucial determinant of the dynamic behavior of market value. Using aggregate US corporate sector data, we estimate firms' optimal hiring and investment decisions and the consequences for firms' value. (JEL E22, E24, G31, G32, M51)

scholarly journals A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence

2008 ◽  
Vol 98 (1) ◽  
pp. 474-495 ◽  
Author(s):  
Marjorie Flavin ◽  
Shinobu Nakagawa
Keyword(s):  
Asset Pricing ◽  
Housing Price ◽  
Adjustment Costs ◽  
Portfolio Allocation ◽  
Relative Price ◽  
Adjustment Cost ◽  
Price Risk ◽  
Financial Assets ◽  
Habit Persistence ◽  
Over Time

The paper provides a model of household consumption and portfolio allocation which incorporates housing as both a consumption good and a component of wealth. Household utility depends, possibly nonseparably, on two goods: nondurable consumption, which is costlessly adjustable, and housing, which is subject to a nonconvex adjustment cost. Households face housing price risk in the sense that the relative price of housing varies over time, and can invest in a wide variety of financial assets in addition to housing. This single, reasonably tractable, model generates testable implications for portfolio allocation, risk aversion, asset pricing, and the dynamics of nondurable consumption. (JEL D14, G11, R21)

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

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