Essays on Asset Pricing with Financial Frictions

Publikation: Bog/antologi/afhandling/rapportPh.d.-afhandlingForskning

Resumé

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.
OriginalsprogEngelsk
Udgivelses stedFrederiksbeg
ForlagCopenhagen Business School [Phd]
Antal sider168
ISBN (Trykt)9788793744806
ISBN (Elektronisk)9788793744813
StatusUdgivet - 2019
NavnPhD series
Nummer19.2019
ISSN0906-6934

Citer dette

Kjær Poulsen, T. (2019). Essays on Asset Pricing with Financial Frictions. Frederiksbeg: Copenhagen Business School [Phd]. PhD series, Nr. 19.2019
Kjær Poulsen, Thomas. / Essays on Asset Pricing with Financial Frictions. Frederiksbeg : Copenhagen Business School [Phd], 2019. 168 s. (PhD series; Nr. 19.2019).
@phdthesis{4b4d6388ebf1495892cac066b6eab508,
title = "Essays on Asset Pricing with Financial Frictions",
abstract = "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.",
author = "{Kj{\ae}r Poulsen}, Thomas",
year = "2019",
language = "English",
isbn = "9788793744806",
publisher = "Copenhagen Business School [Phd]",
address = "Denmark",

}

Kjær Poulsen, T 2019, Essays on Asset Pricing with Financial Frictions. PhD series, nr. 19.2019, Copenhagen Business School [Phd], Frederiksbeg.

Essays on Asset Pricing with Financial Frictions. / Kjær Poulsen, Thomas.

Frederiksbeg : Copenhagen Business School [Phd], 2019. 168 s. (PhD series; Nr. 19.2019).

Publikation: Bog/antologi/afhandling/rapportPh.d.-afhandlingForskning

TY - BOOK

T1 - Essays on Asset Pricing with Financial Frictions

AU - Kjær Poulsen, Thomas

PY - 2019

Y1 - 2019

N2 - 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.

AB - 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.

UR - https://primo.kb.dk/primo-explore/fulldisplay?docid=CBS01000969227&context=L&vid=CBS&search_scope=Blended&tab=default_tab&lang=da_DK

M3 - Ph.D. thesis

SN - 9788793744806

BT - Essays on Asset Pricing with Financial Frictions

PB - Copenhagen Business School [Phd]

CY - Frederiksbeg

ER -

Kjær Poulsen T. Essays on Asset Pricing with Financial Frictions. Frederiksbeg: Copenhagen Business School [Phd], 2019. 168 s. (PhD series; Nr. 19.2019).