Conditional Equity Premium and Aggregate Corporate Investment

被引：0
|
作者：
Guo, Hui [1 ]
Qiu, Buhui [2 ]
机构：
[1] Univ Cincinnati, Dept Finance, Carl H Lindner Coll Business, Cincinnati, OH 45221 USA
[2] Univ Sydney, Business Sch, Sydney, NSW, Australia
来源：
JOURNAL OF MONEY CREDIT AND BANKING | 2023年 / 55卷 / 01期
关键词：
aggregate corporate investment; return on assets; aggregate corporate profitability; conditional equity premium; market variance; aggregate idiosyncratic variance; Tobin's q; investor sentiment; investment-based asset pricing model; multifactor asset pricing models; STOCK-MARKET; CROSS-SECTION; ASSET GROWTH; RISK; RETURNS; SENTIMENT; PRICES; EXPECTATIONS; CONSTRAINTS; UNCERTAINTY;
D O I：
10.1111/jmcb.12910
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We document a strong negative relation between aggregate corporate investment and conditional equity premium estimated from direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with conditional equity premium fully accounts for aggregate investment's market return predictive power. Similarly, conditional equity premium is a significant determinant of classic Tobin's q measure, although q has much weaker explanatory power for aggregate investment possibly because of its measurement errors. Moreover, the positive relation between aggregate investment and investor sentiment documented in previous studies reflects the fact that both variables correlate closely with conditional equity premium.
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页码：251 / 295
页数：45
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