Investment Plans And Stock Returns  

Oleh:

Lamont, Owen A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 6 (2000), page 2719-2746.
Topik: investment; investments; securities markets; studies; discount rates; rates of return
Fulltext: p 2719.pdf (259.2KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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When the discount rate falls, investment should rise. Thus with time - varying discoun rates and isntantly changing investmnet, investment should positicely covary with current stock returns and negatively covary with future stock returns. Aggregate non residential U. S. investment contradicts both these implicaitons, probably because of investment lags. Investment plans, however, satisfy both implications. These investment plans, form a U. S. government survey of firms, are highly informative measures of expected investment and explain more than three - quarters of the variation in real annual aggregate investment growth. Plans have substantial forecasting power for excess stock returns, showing that time - varying risk premia affect investment.

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