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On Stock Market Returns and Returns on Investments

Author

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  • Fernando Restoy
  • G. Michael Rockinger

Abstract

This article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investment decision of the firm. Under the assumption of linear homogeneous production and adjustment cost functions, it is possible to establish, state by state, the equality between the return on investment and the market return of the financial claims issued by the firm. This result proves to be, in essence, robust to the consideration of very general constraints on investment and the inclusion of taxes. Copyright 1994 by American Finance Association.
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Suggested Citation

  • Fernando Restoy & G. Michael Rockinger, 1993. "On Stock Market Returns and Returns on Investments," Working Papers 9311, Banco de España.
    • Handle: RePEc:bde:wpaper:9311
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    Keywords

    financial market ; investments;

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