Time-varying risk premia and the cost of capital:: An alternative implication of the Q theory of investment

• 成果类型: Article
• 署名作者: Lettau, M; Ludvigson, S
• 署名单位: New York University; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - New York; New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00097-6
• 发表日期: 2002
• 页码: 31-66
• 关键词: Q-theory; INVESTMENT; risk-premia

摘要

Evidence suggests that expected excess stock market returns vary over time, and that this variation is much larger than that of expected real interest rates. It follows that a large fraction of the movement in the cost of capital in standard investment models must be attributable to movements in equity risk-premia. In this paper we emphasize that such movements in equity risk premia should have implications not merely for investment today, but also for future investment over long horizons. In this case, predictive variables for excess stock returns over long-horizons are also likely to forecast long-horizon fluctuations in the growth of marginal Q, and therefore investment. We test this implication directly by performing long-horizon forecasting regressions of aggregate investment growth using a variety of predictive variables shown elsewhere to have forecasting power for excess stock market returns. (C) 2002 Elsevier Science B.V. All rights reserved.