TY  - JOUR
AU  - Li, J
AU  - Wang, H
AU  - Yu, J
Y2  - 2020/12/14
Y1  - 2021/01/01
SN  - 0304-3932
UR  - http://hdl.handle.net/11343/254059
AB  - A 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.
LA  - en
PB  - Elsevier BV
T1  - Aggregate expected investment growth and stock market returns
DO  - 10.1016/j.jmoneco.2020.03.016
IS  - Journal of Monetary Economics
VL  - 117
SP  - 618-638
ER  -