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Cited by 1,475

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Optimal Investment, Growth Options, and Security Returns

Open access
Berk, Jonathan B., Green, Richard C., Naik, Vasant·1999·The Journal of Finance
DOI 10.1111/0022-1082.00161
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Abstract

As a consequence of optimal investment choices, a firm's assets and growth options change in predictable ways. Using a dynamic model, we show that this imparts predictability to changes in a firm's systematic risk, and its expected return. Simulations show that the model simultaneously reproduces: (i) the time‐series relation between the book‐to‐market ratio and asset returns; (ii) the cross‐sectional relation between book‐to‐market, market value, and return; (iii) contrarian effects at short horizons; (iv) momentum effects at longer horizons; and (v) the inverse relation between interest rates and the market risk premium.

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Crossref · 10.1111/0022-1082.00161

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Metadata

Authors
Berk, J. B., Green, R. C., & Naik, V.
Venue
The Journal of Finance
Publisher
Wiley
Published
1999-10
Volume
54
Issue
5
Pages
1553-1607
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/0022-1082.00161
OpenAlex
W2893941034
Cited by
1,475
References
2
FWCI
19.95
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Optimal Investment, Growth Options, and Security Returns. https://app.cochat.ai/papers/10.1111/0022-1082.00161
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Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal Investment, Growth Options, and Security Returns. The Journal of Finance. https://doi.org/10.1111/0022-1082.00161

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.