Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 1, 2017 erstellt
Description:
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is also a significant determinant of classic Tobin's q measure, although the latter has a much weaker relation with 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