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1、InventoryInvestmentandtheCostofCapitalChristopherS.JonesSelaleTuzelMarshallSchoolofBusinessMarshallSchoolofBusinessUniversityofSouthernCaliforniaUniversityofSouthernCaliforniaLosAngeles,CA90089LosAngeles,CAchristopher.jones@marshall.usc.edutuzel@usc.edu213-740-94813-740-9486Firstdraft:November200
2、8Thisrevision:January2010InventoryInvestmentandtheCostofCapitalAbstractWeexaminetherelationbetweeninventoryinvestmentandthecostofcapitalinatheoreticalmodelandempiricallyusingdatafrom1958to2006.Weconstructanequilibriummodelofinvestmentwithtwotypesofcapital,fixedcapitalandinventory,andapricingkernel
3、thatgeneratesacountercyclicalpriceofrisk.Inourcalibratedeconomy,wefindthatinventoryinvestmentisnegativelyrelatedtotheequityriskpremium,whosefluctuationsaccountforapproximately80%ofthevariationininventoryinvestment.Insupportofthisresult,ourempiricalworkdocumentsthatriskpremia,ratherthanrealinterestr
4、ates,arestronglynegativelyrelatedtofutureinventorygrowth.Thisrelationishighlysignificantandrobusttoanumberofvariationsinestimationmethod,inventorytype,andriskpremiumproxy.Furthermore,theeffectisstrongerfordurablegoods,whosesalesarehighlyprocyclical,thanfornondurables,andforindustrieswhosesalesaremo
5、reprocyclical.1IntroductionAsaformofinvestment,afirm’soptimalinventorystockshouldnaturallybeexpectedtovarywithitscostofcapital.Atamacrolevel,wewouldexpectaggregateinventoryinvestmenttovarywithmeasuresoftheaveragecostofcapital.Oneofthepuzzlingresultsfromtheempiricalmacroeconomicliteratureoninventor
6、iesistheapparentlackofrelationbetweentheaccumulationofinventoriesandthecostofcapital,atleastasproxiedbyshort-termrealinterestrates.Maccini,Moore,andSchaller(2004)notethatalthoughthereisa“perceptionofaninverserelationshipbetweeninventoryinvestmentandinterestrates,...almostnoevidenceexistsforsuchan
7、effect.”Theinabilitytorelateinventoryinvestmenttothecostofcapitalisdisconcertinggiventheimportanceofinventoryinvestmentoverthebusinesscycle.Table1showsthatinventoryinvestment,asafractionofGDP,ismorevolatilethanfixedinves
