Global S&T Development Trend Analysis Platform of Resources and Environment
Aggregate Expected Investment Growth and Stock Market Returns | |
[unavailable] | |
2018-02-13 | |
出版年 | 2018 |
语种 | 英语 |
国家 | 国际 |
领域 | 气候变化 |
英文摘要 |
![]() Aggregate expected investment growth is a strong and negative predictor for future stock market returns. Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth, negatively predicts future stock market returns. with an adjusted in-sample R2 of 18.5% and an out-of-sample R2 of 16.3% at the 1-year horizon. The return predictive power is robust after controlling for popular macroeconomic return predictors, in subsample periods, as well as in other G7 countries. Further analyses suggest that the predictive ability of aggregate expected investment growth is more likely to be driven by the time-varying risk premium than by behavioral biases such as extrapolative expectations. WORKING PAPER NO: 808 |
URL | 查看原文 |
来源平台 | Asian Development Bank |
文献类型 | 科技报告 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/234795 |
专题 | 气候变化 |
推荐引用方式 GB/T 7714 | [unavailable]. Aggregate Expected Investment Growth and Stock Market Returns,2018. |
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adbi-wp808.pdf(449KB) | 科技报告 | 开放获取 | CC BY-NC-SA | 浏览 下载 |
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