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- W73285456 abstract "We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation for the investment effect, where low-investment stocks earn higher expected returns than high-investment stocks. We expand existing production-based models to show how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high-investment firms in down markets. Our overall evidence supports downside productivity constraints as an explanation for the investment effect for small firms (i.e., small and low-investment firms are more sensitive to CF news in downside conditions), and for financing constraints as an explanation for the investment effect for large firms (i.e., large and high-investment firms are more sensitive to DR news in market downturns)." @default.
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- W73285456 date "2015-01-01" @default.
- W73285456 modified "2023-10-14" @default.
- W73285456 title "Can Business Cycle Risk Explain the Investment Effect?" @default.
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- W73285456 doi "https://doi.org/10.2139/ssrn.2577383" @default.
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