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首页> 外文期刊>Journal of financial economics >Inventory investment and the cost of capital*
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Inventory investment and the cost of capital*

机译：库存投资和资本成本*

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摘要

We examine the relation between inventory investment and the cost of capital in the time series and the cross section. We find consistent evidence that risk premiums, rather than real interest rates, are strongly negatively related to future inventory growth at the aggregate, industry, and firm levels. The effect is stronger for firms in industries that produce durables rather than nondurables, exhibit greater cyclicality in sales, require longer lead times, and are subject to more technological innovation. We then construct a production-based asset pricing model with two types of capital, fixed capital and inventories, to explain these empirical findings. Convex adjustment costs and a countercyclical price of risk lead to negative time series and cross-sectional relations between expected returns and inventory growth.
机译：我们在时间序列和横截面上检查库存投资与资本成本之间的关系。我们发现一致的证据表明，风险溢价而非实际利率与总体，行业和公司层面的未来库存增长密切相关。对于生产耐用品而不是非耐用品，销售表现出更大的周期性，需要更长的交货时间并且需要更多技术创新的行业中的公司而言，这种影响更为强烈。然后，我们用两种类型的资本（固定资本和库存）构建基于生产的资产定价模型，以解释这些经验发现。凸的调整成本和风险的反周期价格导致负的时间序列和预期收益与库存增长之间的横截面关系。

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