Investment Plans and Stock Returns."
AbstractWhen the discount rate falls, investment should rise. Thus with time-varying discount rates and instantly changing investment, investment should positively covary with current stock returns and negatively covary with future stock returns. Aggregate nonresidential U.S. investment contradicts both these implications, probably because of investment lags. Investment plans, however, satisfy both implications. These investment plans, from 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. Copyright The American Finance Association 2000.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Center for Research in Security Prices, Graduate School of Business, University of Chicago in its series CRSP working papers with number 488.
Date of creation:
Date of revision:
Contact details of provider:
Postal: 725 South Wells Street, Suite 800, Chicago, Illinois 60607-4501
Web page: http://gsbwww.uchicago.edu/fac/finance/papers/
More information through EDIRC
Other versions of this item:
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Campbell, John Y & Mei, Jianping, 1993. "Where Do Betas Come From? Asset Price Dynamics and the," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 567-92.
- Mark Schankerman, 1991. "Revisions of investment plans and the stock market rate of return," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 3735, London School of Economics and Political Science, LSE Library.
- Richard W. Kopcke, 1993. "Forecasting investment with models and surveys of capital spending," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue Mar, pages 47-69.
- Cochrane, John H, 1991. " Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 209-37, March.
- Robert J. Barro, 1989.
"The Stock Market and Investment,"
NBER Working Papers
2925, National Bureau of Economic Research, Inc.
- Barro, Robert J, 1990. "The Stock Market and Investment," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(1), pages 115-31.
- Dexter Keezer & Robert Ulin, 1960. "Observations on the Predictive Quality of Mcgraw-Hill Surveys of Business' Plans for New Plants and Equipment," NBER Chapters, in: The Quality and Economic Significance of Anticipations Data, pages 369-386 National Bureau of Economic Research, Inc.
- R. Glenn Hubbard, 1998.
"Capital-Market Imperfections and Investment,"
Journal of Economic Literature,
American Economic Association, vol. 36(1), pages 193-225, March.
- Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, American Finance Association, vol. 46(2), pages 529-54, June.
- Mark Schankerman, 1991. "Revisions of Investment Plans and the Stock Market Rate of Return," STICERD - Economics of Industry Papers 05, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Olivier Blanchard & Changyong Rhee & Lawrence Summers, 1990.
"The Stock Market, Profit and Investment,"
NBER Working Papers
3370, National Bureau of Economic Research, Inc.
- Randall Morck & Andrei Shleifer & Robert W. Vishny, 1990. "The Stock Market and Investment: Is the Market a Sideshow?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 157-216.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.