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Optimal Investment, Growth Options and Security Returns

Jonathan Berk, Richard Green and Vasant Naik

GSIA Working Papers from Carnegie Mellon University, Tepper School of Business

Abstract: An explicit expression for a firm's expected return is developed in a dynamic model of investment at the firm level. Each period, the firm has an option to invest. Past investment decisions account for the firm's existing asset base which is assumed

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Related works:
Journal Article: Optimal Investment, Growth Options, and Security Returns (1999) Downloads
Working Paper: Optimal Investment, Growth Options, and Security Returns (1998) Downloads
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