Arbeitspapier
Aggregate expected investment growth and 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.
- Language
-
Englisch
- Bibliographic citation
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Series: ADBI Working Paper ; No. 808
- Classification
-
Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Li, Jun
Wang, Huijun
Yu, Jianfeng
- Event
-
Veröffentlichung
- (who)
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Asian Development Bank Institute (ADBI)
- (where)
-
Tokyo
- (when)
-
2018
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Li, Jun
- Wang, Huijun
- Yu, Jianfeng
- Asian Development Bank Institute (ADBI)
Time of origin
- 2018
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