论企业存货成本中存在的问题及对策 外文原文.docVIP

Inventory Investment and the Cost of Capital Christopher S. Jones Selale Tuzel Marshall School of Business Marshall School of Business University of Southern California University of Southern California Los Angeles, CA 90089 Los Angeles, CA christopher.jones@ tuzel@ 213-740-948 13-740-9486 First draft: November 2008 This revision: January 2010 Inventory Investment and the Cost of Capital Abstract We examine the relation between inventory investment and the cost of capital in a theoretical model and empirically using data from 1958 to 2006. We construct an equilibrium model of investment with two types of capital, ?xed capital and inventory, and a pricing kernel that generates a countercyclical price of risk. In our calibrated economy, we ?nd that inventory investment is negatively related to the equity risk premium, whose ?uctuations account for approximately 80% of the variation in inventory investment. In support of this result, our empirical work documents that risk premia, rather than real interest rates, are strongly negatively related to future inventory growth. This relation is highly signi?cant and robust to a number of variations in estimation method, inventory type, and risk premium proxy. Furthermore, the e?ect is stronger for durable goods, whose sales are highly procyclical, than for nondurables, and for industries whose sales are more procyclical. 1 Introduction As a form of investment, a ?rm’s optimal inventory stock should naturally be expected to vary with its cost of capital. At a macro level, we would expect aggregate inventory investment to vary with measures of the average cost of capital. One of the puzzling results from the empirical macroeconomic literature on inventories is the apparent lack of relation between the accumulation of inventories and the cost of capital, at least as proxied by short-term real interest rates. Maccini, Moore, and Schaller (2004) note that although ther