Aggregate expected investment growth and stock market returns

• 成果类型: Article
• 署名作者: Li, Jun; Wang, Huijun; Yu, Jianfeng
• 署名单位: University of Texas System; University of Texas Dallas; Auburn University System; Auburn University; Tsinghua University; University of Melbourne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.03.016
• 发表日期: 2021
• 关键词: Investment plan; Investment lags; Time-varying risk premium; Investor sentiment; Stock market prediction

摘要

A bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG) can negatively predict market returns. At the one-year horizon, the adjusted in-sample R-2 is 18.2% and the out-of-sample R-2 is 14.4%. The return predictive power is robust after controlling for standard macroeconomic return predictors and proxies for investor sentiment. Further analyses suggest that the predictive ability of AEIG is at least partially driven by the time-varying risk premium. These findings lend support to neoclassical models with investment lags. (C) 2020 Elsevier B.V. All rights reserved.