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dc.contributor.authorLi, J
dc.contributor.authorWang, H
dc.contributor.authorYu, J
dc.date.accessioned2020-12-14T05:57:20Z
dc.date.available2020-12-14T05:57:20Z
dc.date.issued2021-01-01
dc.identifier.citationLi, J., Wang, H. & Yu, J. (2021). Aggregate expected investment growth and stock market returns. Journal of Monetary Economics, 117, pp.618-638. https://doi.org/10.1016/j.jmoneco.2020.03.016.
dc.identifier.issn0304-3932
dc.identifier.urihttp://hdl.handle.net/11343/254059
dc.description.abstractA bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG) can negatively predict market returns. At the one-year horizon, the adjusted in-sample R2 is 18.2% and the out-of-sample R2 is 14.4%. The return predictive power is robust after controlling for standard macroeconomic return predictors and proxies for investor sentiment. Further analyses suggest that the predictive ability of AEIG is at least partially driven by the time-varying risk premium. These findings lend support to neoclassical models with investment lags.
dc.languageen
dc.publisherElsevier BV
dc.titleAggregate expected investment growth and stock market returns
dc.typeJournal Article
dc.identifier.doi10.1016/j.jmoneco.2020.03.016
melbourne.affiliation.departmentFinance
melbourne.source.titleJournal of Monetary Economics
melbourne.source.volume117
melbourne.source.pages618-638
melbourne.elementsid1446822
melbourne.openaccess.urlhttps://www.econstor.eu/bitstream/10419/190229/1/adbi-wp808.pdf
melbourne.openaccess.statusPublished version
melbourne.contributor.authorWang, Huijun
melbourne.accessrightsAccess this item via the Open Access location


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