Aggregate Investment and Investor Sentiment

• 成果类型: Article
• 署名作者: Arif, Salman; Lee, Charles M. C.
• 署名单位: Indiana University System; Indiana University Bloomington; Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu054
• 发表日期: 2014
• 页码: 3241
• 关键词: BOOK-TO-MARKET; stock-market; CONTRARIAN INVESTMENT; corporate-investment; PREDICTING RETURNS; bubbles; issues

摘要

Using bottom-up information from corporate financial statements, we examine the relation between aggregate investment, future equity returns, and investor sentiment. Consistent with the business cycle literature, corporate investments peak during periods of positive sentiment, yet these periods are followed by lower equity returns. This pattern exists in most developed countries and survives controls for discount rates, equity flows, valuation multiples, operating accruals, and other investor sentiment measures. Higher aggregate investments also precede greater earnings disappointments, lower short-window earnings announcement returns, and lower macroeconomic growth. We conclude aggregate corporate investment is an alternative, and possibly sharper, measure of market-wide investor sentiment.