The Review of Financial Studies, Volume 31, Issue 1, 1 January 2018

缺乏灵活性和股票回报

作者：Lifeng Gu（University of Hong Kong）

Dirk Hackbarth（Boston University）

Tim Johnson（University of Illinois at Urbana-Champaign）

摘要：以投资为基础的资产定价强调了不可逆性是企业风险和预期回报的决定性因素。在企业调整规模成本很高的新古典主义模型中，我们证明规模灵活程度（即收缩和扩张选择）的影响决定了风险和经营杠杆之间的关系：对于规模不灵活的公司来说，风险会随着经营杠杆的增加而增加，而对于规模灵活的公司来说恰恰相反。以理论为依据，我们建立了易于复制的不灵活性和经营杠杆的代理变量。实证检验为预测这些特征在股票收益和风险中的相互作用提供了支持。

Inflexibility and Stock Returns

Lifeng Gu（University of Hong Kong）, Dirk Hackbarth（Boston University）, Tim Johnson（University of Illinois at Urbana-Champaign）

ABSTRACT

Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms' risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage for inflexible firms, but decreases for flexible firms. Guided by theory, we construct easily reproducible proxies for inflexibility and operating leverage. Empirical tests provide support for the predicted interaction of these characteristics in stock returns and risk.

原文链接：https://academic.oup.com/rfs/article-abstract/31/1/278/4104434?redirectedFrom=fulltext

翻译：黄涛