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Capital intensity and investment shocks: Implications for stock returns

Abstract:

I show that a firm’s capital intensity affects the asset pricing implications of investment-specific technology shocks measured by a popular measure, the IMC porfolio. Capital-intensive stocks sorted by the exposure to this measure generate a highly significant average return premium of up to 5% annually. A similar return premium is present in the sub-sample of capital-intensive firms but absent among labor-intensive firms, while the exposures to the IMC portfolio are similar in both sub-samp...

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Publication status:
Not published
Peer review status:
Not peer reviewed

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Publisher copy:
10.2139/ssrn.3019782

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Institution:
University of Oxford
Division:
Social Sciences Division
Department:
Said Business School
Oxford college:
Kellogg College
Role:
Author
Publication date:
2017-08-17
DOI:
Source identifiers:
1053317
Pubs id:
pubs:1053317
UUID:
uuid:7e37a362-7db6-42aa-8d50-5b3c08e672b7
Local pid:
pubs:1053317
Deposit date:
2019-09-13

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