Cash, Investments and Asset Returns

Authors

Dayong Huang, University of North Carolina at Chapel Hill
Fang Wang, Central Washington UniversityFollow

Document Type

Article

Department or Administrative Unit

IT and Administrative Management

Publication Date

12-2009

Abstract

We use an investment-based asset pricing model to examine the effect of firms’ investments relative to cash holdings on stock returns, assuming holding cash lowers transaction costs. We find that mimicking portfolios based on investments relative to non-cash capital and based on investments relative to cash capital are priced for various testing portfolios. On average, momentum stocks and growth stocks are more sensitive to the factor constructed using investment relative to cash.

Comments

This article was originally published in Journal of Banking & Finance. The full-text article from the publisher can be found here.

Due to copyright restrictions, this article is not available for free download through ScholarWorks @ CWU.

Recommended Citation

Huang, D. & Wang, F. (2009). Cash, investments and asset returns. Journal of Banking & Finance 33(12), 2301-2311. DOI: 10.1016/j.jbankfin.2009.06.006

Journal

Journal of Banking and Finance

Rights

Copyright © 2009 Elsevier B.V. All rights reserved.